Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

DOI10.1016/j.jmva.2008.02.024zbMath1151.62046OpenAlexW2072145805MaRDI QIDQ957321

Taras Bodnar, Yarema Okhrin

Publication date: 27 November 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.024

zbMATH Keywords

singular Wishartpartitioned matricesgeneralized inverse Wishartinverse Wishart

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (32)

Multivariate Wishart stochastic volatility and changes in regime ⋮ An exact test about the covariance matrix ⋮ On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory ⋮ An exact test for a column of the covariance matrix based on a single observation ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ A note about measures, Jacobians and Moore-Penrose inverse ⋮ On the exact and approximate distributions of the product of a Wishart matrix with a normal vector ⋮ Optimal variable selection in multi-group sparse discriminant analysis ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ On the singular gamma, Wishart, and beta matrix‐variate density functions ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Exact test theory in Gaussian graphical models ⋮ The Wishart distribution with two different degrees of freedom ⋮ Autoregressive mixture models for clustering time series ⋮ 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 matrix variate Birnbaum-Saunders distribution under elliptical models ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Discriminant analysis in small and large dimensions ⋮ On the mean and variance of the generalized inverse of a singular Wishart matrix ⋮ Surveillance of the covariance matrix based on the properties of the singular Wishart distribution ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix ⋮ Distribution of the product of a singular Wishart matrix and a normal vector ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ Variable selection of linear programming discriminant estimator ⋮ Bayesian estimation for misclassification rate in linear discriminant analysis ⋮ SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ On the exact distribution of the estimated expected utility portfolio weights: Theory and applications ⋮ Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation

Uses Software

• BayesDA

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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
• On singular Wishart and singular multivariate beta distributions
• Wishart and pseudo-Wishart distributions and some applications to shape theory
• Proof of the conjectures of H. Uhlig on the singular multivariate beta and the Jacobian of a certain matrix transformation
• Singular Wishart and multivariate beta distributions
• On improved estimation of normal precision matrix and discriminant coefficients
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• The Distribution of the Sample Minimum-Variance Frontier
• 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: Properties of the singular, inverse and generalized inverse partitioned Wishart distributions