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

DOI10.1016/J.SPL.2007.05.033zbMATH Open1130.62054OpenAlexW2127227112MaRDI QIDQ2474512FDOQ2474512

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

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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)

Cites Work

• Title not available (Why is that?)
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• The non-singularity of generalized sample covariance matrices
• Title not available (Why is that?)
• Establishing the Positive Definiteness of the Sample Covariance Matrix
• Singular Wishart and multivariate beta distributions
• When Does Rank(A+B)=Rank(A)+Rank(B)?
• On singular Wishart and singular multivariate beta distributions

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