Transformations preserving normality and Wishart-ness (Q1082008): Difference between revisions

R\({}^{n\times p}\), O(n), G(p), S(p) denote respectively the set of \(n\times p\) matrices, the set of \(n\times n\) orthogonal matrices, the set of \(p\times p\) nonsingular matrices, and the set of \(p\times p\) positive definite matrices. \(N_ p(\mu,\Sigma)\) denotes the p-dimensional normal distribution with mean \(\mu\) and covariance matrix \(\Sigma\). \(W_ p(\Sigma,m)\) denotes the Wishart distribution with mean \(m\Sigma\) and m degrees of freedom. It is shown that a bijective and bimeasurable transformation (BBT) g on \(R^{p\times 1}\) preserving the multivariate normality of \(N_ p(\mu,\Sigma)\) for some fixed \(\mu =\mu_ 1,\mu_ 2\) \((\mu_ 1\neq \mu_ 2)\) and for all \(\Sigma\in S(p)\) is of the form \(g(x)=Ax+b\) a.e. for some (A,B)\(\in G(p)\times R^{p\times 1}.\) A BBT g on \(R^{n\times p}\) preserving the form \(N_{n\times p}(\theta,I\otimes \Sigma)\) for certain \(\theta\) 's and all \(\Sigma\in S(p)\) is of the form \(g(x)=QxA+E\) a.e. for some \((Q,A,E)\in O(n)\times G(p)\times R^{n\times p}.\) A BBT h on S(p) preserving the Wishartness of \(W_ p(\Sigma,m)\) (m\(\geq p)\) for all \(\Sigma\in S(p)\) is of the form \(h(w)=A'wA\) a.e. for some \(A\in G(p).\) A BBT \(k(x,w)=(k_ 1(x,w),k_ 2(x,w))\) on \(R^{n\times p}\times S(p)\) which preserves the form of \(N_{n\times p}(\theta,I\otimes \Sigma)\times W_ p(\Sigma,m)\) for certain \(\theta\) 's and all \(\Sigma\in S(p)\) is of the form \(k(x,w)=(QxA+E\), A'wA) a.e. for some (Q,A,E)\(\in O(n)\times G(p)\times R^{n\times p}\).