Description
Approximation to the Survival Functions of Quadratic Forms of Gaussian Variables.
Description
Calculates the right-tail probability of quadratic forms of Gaussian variables using the skewness-kurtosis ratio matching method, modified Liu-Tang-Zhang method and Satterthwaite-Welch method. The technical details can be found in Hong Zhang, Judong Shen and Zheyang Wu (2020) <arXiv:2005.00905>.