On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix (Q502590): Difference between revisions
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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. | |||
| Property / 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. / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60B20 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60E05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6670783 / rank | |||
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| Property / zbMATH Keywords | |||
marginal distribution | |||
| Property / zbMATH Keywords: marginal distribution / rank | |||
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| Property / zbMATH Keywords | |||
Wishart random matrix | |||
| Property / zbMATH Keywords: Wishart random matrix / rank | |||
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| Property / zbMATH Keywords | |||
likelihood methods | |||
| Property / zbMATH Keywords: likelihood methods / rank | |||
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Revision as of 01:43, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix |
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On the marginal distribution of the diagonal blocks in a blocked Wishart random matrix (English)
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5 January 2017
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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.
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marginal distribution
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Wishart random matrix
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likelihood methods
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