Singular Wishart and multivariate beta distributions
From MaRDI portal
Publication:1431440
DOI10.1214/aos/1065705118zbMath1042.62051OpenAlexW2007551061MaRDI QIDQ1431440
Publication date: 9 June 2004
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1065705118
Stiefel manifoldnormal distributionJacobian of transformationspseudo Wishartsingular noncentral Wishart
Related Items (54)
Improved second order estimation in the singular multivariate normal model ⋮ Estimation of a high-dimensional covariance matrix with the Stein loss ⋮ Generalized heterogeneous hypergeometric functions and the distribution of the largest eigenvalue of an elliptical Wishart matrix ⋮ A note about measures and Jacobians of singular random matrices ⋮ An exact test about the covariance matrix ⋮ On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory ⋮ Multivariate analysis of variance with fewer observations than the dimension ⋮ An exact test for a column of the covariance matrix based on a single observation ⋮ Inverse Wishart distributions based on singular elliptically contoured distributions ⋮ The Jacobians of matrix transformation about singular random matrices and its applications ⋮ Pairwise sparse + low-rank models for variables of mixed type ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ On the singular gamma, Wishart, and beta matrix‐variate density functions ⋮ The Wishart distribution with two different degrees of freedom ⋮ On surface integrals related to distributions of random matrices ⋮ Estimation of parameters in the growth curve model via an outer product least squares approach for covariance ⋮ Long memory and asymmetry for matrix-exponential dynamic correlation processes ⋮ Estimation of the inverse scatter matrix of an elliptically symmetric distribution ⋮ Unified improvements in estimation of a normal covariance matrix in high and low dimensions ⋮ Singular inverse Wishart distribution and its application to portfolio theory ⋮ Estimation of parameters in a generalized GMANOVA model based on an outer product analogy and least squares ⋮ Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices ⋮ Singular Riesz measures on symmetric cones ⋮ On the mean and variance of the generalized inverse of a singular Wishart matrix ⋮ Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension ⋮ On generalized multivariate analysis of variance ⋮ Pseudo-inverse multivariate/matrix-variate distributions ⋮ Estimation of the mean vector in a singular multivariate normal distribution ⋮ Covariance matrix estimation under data-based loss ⋮ Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data ⋮ Multivariate stochastic volatility with Bayesian dynamic linear models ⋮ The rank of a normally distributed matrix and positive definiteness of a noncentral Wishart distributed matrix ⋮ Properties of the singular, inverse and generalized inverse partitioned Wishart distributions ⋮ Surveillance of the covariance matrix based on the properties of the singular Wishart distribution ⋮ Sampling error distribution for the ensemble Kalman filter update step ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Testing the equality of several covariance matrices with fewer observations than the dimension ⋮ On the degrees of freedom in MCMC-based Wishart models for time series data ⋮ Singular random matrix decompositions: Jacobians ⋮ 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 ⋮ Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\) ⋮ Probabilistic clustering of time-evolving distance data ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ Predictive inference for singular multivariate elliptically contoured distributions ⋮ Real-time covariance estimation for the local level model ⋮ Bayesian estimation for misclassification rate in linear discriminant analysis ⋮ Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss ⋮ On the Jacobians of singular matrix decomposition and its application ⋮ A unified approach for covariance matrix estimation under Stein loss ⋮ Estimation of parameters in the extended growth curve model via outer product least squares for covariance ⋮ Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative ⋮ On the information obtainable from comparative judgments ⋮ A unified approach to estimating a normal mean matrix in high and low dimensions
Cites Work
- 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
- Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Singular Wishart and multivariate beta distributions
