On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix
type: Item
instance of: scholarly article
title: On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix
zbMATH Open document ID: 1357.60014
DOI: 10.1155/2016/5967218
author: Kjetil B. Halvorsen
author: Víctor Ayala
author: Eduardo Fierro
published in: International Journal of Analysis
publication date: 2017-01-05T00:00:00Z
review text: Summary: Let \(A\) be a \((m_1 + m_2) \times(m_1 + m_2)\) blocked Wishart random matrix with diagonal blocks of orders \(m_1 \times m_1\) and \(m_2 \times m_2\). The goal of the paper is to find the exact marginal distribution of the two diagonal blocks of \(A\). We find an expression for this marginal density involving the matrix-variate generalized hypergeometric function. We became interested in this problem because of an application in spatial interpolation of random fields of positive definite matrices, where this result will be used for parameter estimation, using composite likelihood methods.
Mathematics Subject Classification ID: 60B20
Mathematics Subject Classification ID: 60E05
zbMATH DE Number: 6670783
zbMATH Keywords: marginal distribution
zbMATH Keywords: Wishart random matrix
zbMATH Keywords: likelihood methods
describes a project that uses: mftoolbox
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/5967218
OpenAlex ID: W2548107131
Wikidata QID: Q59123920
cites work: Q3219581
cites work: Q4337018
cites work: Singular random matrix decompositions: Jacobians
cites work: Wishart and pseudo-Wishart distributions and some applications to shape theory
cites work: Functions of Matrices
cites work: The Schur complement and its applications
cites work: The efficient evaluation of the hypergeometric function of a matrix argument
cites work: Laplace approximation for Bessel functions of matrix argument
description: scientific article; zbMATH DE number 6670783