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

DOI10.1016/J.SPL.2007.05.033MaRDI QIDQ2474512zbMATH OpenOpenAlexFDO

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

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

multivariate normal distributionrankpositive definitesingular covariance matrixnoncentral Wishart

Mathematics Subject Classification ID

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

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• On Wishart and noncentral Wishart distributions on symmetric cones
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Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 3942782 (Why is no real title available?)
• scientific article; zbMATH DE number 3655180 (Why is no real title available?)
• Establishing the Positive Definiteness of the Sample Covariance Matrix
• On singular Wishart and singular multivariate beta distributions
• Singular Wishart and multivariate beta distributions
• The non-singularity of generalized sample covariance matrices
• When Does Rank(A+B)=Rank(A)+Rank(B)?

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