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

DOI10.1016/J.SPL.2016.02.016MaRDI QIDQ286465zbMATH OpenOpenAlexFDO

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

Publication date 20 May 2016

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

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

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)

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.

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Cited in

(2)

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• On the distribution of the trace of a noncentral Wishart matrix

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