On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian random vector

• In this paper we study the distribution of the product of an inverse Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study. 

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

Wishart distribution

multivariate normal distribution

asymptotic distribution

integral approximation.

Mathematics

Matematik

Wishart distribution

multivariate normal distribution

integral approximation

Asymptotic distribution

Integral approximation

Multivariate normal distribution

Publikations- och innehållstyp

ref (ämneskategori)

art (ämneskategori)