The distribution of matrix quotients

DOI10.1016/0047-259X(85)90056-9zbMath0558.62045OpenAlexW2083399538MaRDI QIDQ762855

Peter C. B. Phillips

Publication date: 1985

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(85)90056-9

zbMATH Keywords

characteristic functionsCramér's inversion formuladistribution of matrix quotientsmatrix t-distributionmatrix variates

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Exact distribution theory in statistics (62E15) Characteristic functions; other transforms (60E10)

Related Items (7)

The exact mean squared error of Stein-rule estimator in linear models ⋮ An \(n\)-variate characterization of the gamma and the complex Wishart densities ⋮ The distribution of symmetric matrix quotients. ⋮ LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS ⋮ Matrix variate Cauchy distribution ⋮ LIMIT THEORY FOR EXPLOSIVELY COINTEGRATED SYSTEMS ⋮ Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood

Cites Work

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• Bessel functions of matrix argument
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
• Inversion Formulae for the Distribution of Ratios
• Extension of a Theorem by Harald Cramer on the Frequency Distribution of the Quotient of Two Variables

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