Chi-square mixture representations for the distribution of the scalar Schur complement in a noncentral Wishart matrix

DOI10.1016/J.SPL.2016.02.016zbMATH Open1369.62033arXiv1512.08159OpenAlexW2963417666MaRDI QIDQ286465FDOQ286465

Authors: Constantin Siriteanu, Satoshi Kuriki, Donald Richards, Akimichi Takemura 

Publication date: 20 May 2016

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

Abstract: We show that the distribution of the scalar Schur complement in a noncentral Wishart matrix is a mixture of central chi-square distributions with different degrees of freedom. For the case of a rank-1 noncentrality matrix, the weights of the mixture representation arise from a noncentral beta mixture of Poisson distributions.

Full work available at URL: https://arxiv.org/abs/1512.08159

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zbMATH Keywords

Wishart distributionSchur complementbeta mixture

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Characterization and structure theory of statistical distributions (62E10)

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Cited In (2)

• Integral transform methods in goodness-of-fit testing. II: The Wishart distributions
• On the distribution of the trace of a noncentral Wishart matrix

Uses Software

• Digital Library of Mathematical Functions

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