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Distribution of the...
Distribution of the product of a singular Wishart matrix and a normal vector
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- Bodnar, Taras (författare)
- Department of Mathematics, Humboldt-University of Berlin, Berlin, Germany
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- Mazur, Stepan, 1988- (författare)
- Department of Statistics, Lund University, Lund, Sweden,Statistics
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- Okhrin, Yarema (författare)
- Department of Statistics, University of Augsburg, Augsburg, Germany
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(creator_code:org_t)
- American Mathematical Society (AMS), 2014
- 2014
- Engelska.
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Ingår i: Theory of Probability and Mathematical Statistics. - : American Mathematical Society (AMS). - 0094-9000 .- 1547-7363. ; :91, s. 1-15
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Abstract
Ämnesord
Stäng
- In this paper we derive a very useful formula for the stochastic representation of the product of a singular Wishart matrix with a normal vector. Using this result, the expressions of the density function as well as of the characteristic function are established. Moreover, the derived stochastic representation is used to generate random samples from the product which leads to a considerable improvement in the computation efficiency. Finally, we present several important properties of the singular Wishart distribution, like its characteristic function and distributional properties of the partitioned singular Wishart matrix.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- Singular Wishart distribution
- multivariate normal distribution
- stochastic representation
- characteristic function.
- Mathematics
- Matematik
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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