Wishartness and independence of matrix quadratic forms in a normal random matrix

DOI10.1016/J.JMVA.2007.01.012zbMATH Open1132.62036OpenAlexW2080620167MaRDI QIDQ2476151FDOQ2476151

Authors: Jianhua Hu 

Publication date: 11 March 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.01.012

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zbMATH Keywords

independenceWishart distributionCochran's theoremnoncentral Wishart distributionmatrix quadratic formWishartness

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (algebraic aspects) (15B52)

Cites Work

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• Maximum likelihood estimators and likelihood ratio criteria in multivariate components of variance
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• Wishartness and independence of matrix quadratic forms for Kronecker product covariance structures
• Conditions for Wishartness and Independence of Second Degree Polynomials in a Normal Vector
• Notes on the distribution of quadratic forms in singular normal variables
• Wishart distributions associated with matrix quadratic forms
• The Distribution of Quadratic Forms in Non-Central Normal Random Variables
• Cochran's statistical theorem for outer inverses of matrices and matrix quadratic forms
• Conditions for a quadratic form to have a chi-squared distribution
• Projections, generalized inverses, and quadratic forms
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Cited In (23)

• Multivariate versions of Cochran's theorems. II
• Estimation of parameters in the growth curve model via an outer product least squares approach for covariance
• A brief derivation of necessary and sufficient conditions for a family of matrix quadratic forms to have mutually independent non-central Wishart distributions
• Wishart-Laplace distributions associated with matrix quadratic forms
• Properties of the explicit estimators in the extended growth curve model
• Wishartness and independence of matrix quadratic forms for Kronecker product covariance structures
• Asymptotic normality and consistency of a two-stage generalized least squares estimator in the growth curve model
• Estimation for an additive growth curve model with orthogonal design matrices
• Estimation of parameters in a generalized GMANOVA model based on an outer product analogy and least squares
• Equivalent conditions for noncentral generalized Laplacianness and independence of matrix quadratic forms
• Wishart distributions associated with matrix quadratic forms
• Estimation of parameters in the extended growth curve model via outer product least squares for covariance
• Wishart and chi-square distributions associated with matrix quadratic forms
• Wishartness of quadratic forms: a characterization via Jordan algebra representations
• The rank of a normally distributed matrix and positive definiteness of a noncentral Wishart distributed matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• A decomposition for a stochastic matrix with an application to MANOVA
• On the Distribution of Matrix Quadratic Forms
• The Density Functions of the Singular Quaternion Normal Matrix and the Singular Quaternion Wishart Matrix
• Title not available (Why is that?)
• Asymptotic normality for traces of polynomials in independent complex Wishart matrices
• Notes on Wishartness and independence of multivariate quadratic forms in correlated normal vectors

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