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On the Distribution of a Random Matrix

On the distribution of a random matrix

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1975Publisher:Informa UK LimitedJournal:Communications in Statistics - Simulation and Computation, volume 4, pages 1,057-1,063 (issn: 0361-0918,

Authors: Narayan C. Giri; Bimal K. Sinha;

doi: 10.1080/03610917508548506 , 10.1080/03610927508827313

On the Distribution of a Random Matrix

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Abstract

Let Y1 and Y2 be distributed as independent normal p-vectors with the means respectively and with the same covariance matrix Σ and let S be distributed as Wishart Wp (N1+N2 −2,Σ), independent of Y1 and Y2. In this paper an analytic derivation of the distribution of the 2×2 matrix M=Y'S−1 γ where Y = (Y1, Y2) and μ and ν are arbitrary vectors is given, following the same lines of derivation as in Sitgreaves (1952).

Related Organizations

University of Montreal
Canada

Keywords

Probability distributions: general theory, Multivariate distribution of statistics

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