Distribution of the product of a singular Wishart matrix and a normal vector

DOI10.1090/tpms/962zbMath1331.62266OpenAlexW2402994474MaRDI QIDQ2786936

Yarema Okhrin, Taras Bodnar, Stepan Mazur

Publication date: 24 February 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://opus.bibliothek.uni-augsburg.de/opus4/files/47378/47378.pdf

zbMATH Keywords

characteristic functionstochastic representationmultivariate normal distributionsingular Wishart distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

Related Items (12)

Distribution of the product of a Wishart matrix and a normal vector ⋮ Matrix variate generalized asymmetric Laplace distributions ⋮ On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector ⋮ Singular inverse Wishart distribution and its application to portfolio theory ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Bayesian estimation for misclassification rate in linear discriminant analysis ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples ⋮ Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Parameter priors for directed acyclic graphical models and the characterization of several probability distributions
• On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
• Moments of minors of Wishart matrices
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Singular Wishart and multivariate beta distributions
• Wishart distributions on homogeneous cones
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• Elliptically Contoured Models in Statistics and Portfolio Theory
• On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory
• On the Mutual Independence of Certain Statistics
• Multivariate Beta Distributions and Independence Properties of the Wishart Distribution
• On Multivariate Distribution Theory

This page was built for publication: Distribution of the product of a singular Wishart matrix and a normal vector