On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension

DOI10.1090/tpms/1078zbMath1447.60037arXiv1611.03042OpenAlexW2963794411MaRDI QIDQ5218372

Stanislas Muhinyuza, Nestor Parolya, Taras Bodnar, Stepan Mazur

Publication date: 3 March 2020

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

Full work available at URL: https://arxiv.org/abs/1611.03042

zbMATH Keywords

stochastic representationsingular Wishart distributionhigh-dimensional asymptoticssingular normal distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

Related Items (7)

Distribution of the product of a Wishart matrix and a normal vector ⋮ Matrix variate generalized asymmetric Laplace distributions ⋮ 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 ⋮ 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

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