The rank of a normally distributed matrix and positive definiteness of a noncentral Wishart distributed matrix

DOI10.1016/j.spl.2007.05.033zbMath1130.62054OpenAlexW2127227112MaRDI QIDQ2474512

Frederieke van Perlo-ten Kleij, A. G. M. Steerneman

Publication date: 6 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.033

zbMATH Keywords

rankmultivariate normal distributionpositive definitesingular covariance matrixnoncentral Wishart

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• On singular Wishart and singular multivariate beta distributions
• Singular Wishart and multivariate beta distributions
• The non-singularity of generalized sample covariance matrices
• Establishing the Positive Definiteness of the Sample Covariance Matrix
• When Does Rank(A+B)=Rank(A)+Rank(B)?

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