On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory

DOI10.1111/j.1467-9469.2011.00729.xzbMath1246.62132OpenAlexW1492465554MaRDI QIDQ2911668

Taras Bodnar, Yarema Okhrin

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-475385

zbMATH Keywords

special functionsmultivariate distributionsinverse Wishart distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Applications of hypergeometric functions (33C90)

Related Items (13)

Statistical Inference for High-Dimensional Global Minimum Variance Portfolios ⋮ On the exact and approximate distributions of the product of a Wishart matrix with a normal vector ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector ⋮ Discriminant analysis in small and large dimensions ⋮ BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Distribution of the product of a singular Wishart matrix and a normal vector ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• Distributional properties of portfolio weights
• A test for the weights of the global minimum variance portfolio in an elliptical model
• Moments of minors of Wishart matrices
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Wishart and pseudo-Wishart distributions and some applications to shape theory
• Singular Wishart and multivariate beta distributions
• Minimum Volume Confidence Regions for a Multivariate Normal Mean Vector
• Estimation of optimal portfolio compositions for Gaussian returns
• Estimation of the precision matrix of a multivariate elliptically contoured stable distribution
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