Characterizations of noncentral chi-squared-generating covariance structures for a normally distributed random vector

DOI10.1007/S13171-016-0081-3MaRDI QIDQ505485zbMATH OpenOpenAlexFDO

Publication date 25 January 2017

Published in Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13171-016-0081-3

covariance matrix generalized inverse independent chi-squared-generating covariance structures non-central chi-squared random variable nonnegative definite matrices positive definite covariance matrix

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Matrix equations and identities (15A24) Quadratic and bilinear forms, inner products (15A63) Random matrices (algebraic aspects) (15B52) Multivariate distribution of statistics (62H10) Analysis of variance and covariance (ANOVA) (62J10)

Review text

The authors analyze the characterization of covariance structures for which some quadratic forms are distributed as non-central independent chi-squared random variables. More precisely, let \(y \sim N_n(\mu,V)\), where \(y\) denotes an \(n \times 1\) random vector, \(\mu\) is the \(n \times 1\) null vector and \(V\) is a \(n \times n\) covariance matrix. Let \(\{ A_1, A_2, \dots, A_k \}\) be a set of \(k \leq n\) different \(n \times n\) nonnegative definite matrices and \(\{ y^TA_iy \}_{i=1}^k\) denote a family of quadratic forms. The aim of this work is to characterize the sets of nonnegative definite and positive definite covariance matrices \(V\) such that \(\{ y^TA_iy \}_{i=1}^k\) are mutually independent chi-squared random variables. To precisely formulate the problem of interest, let \(y \sim N_n(\mu,V)\), the set of nonnegative definite commutative matrices \[ {\mathcal A}_c \equiv \{A_i \in \mathbb{R}_n^{\geq} : A_iA_j=A_jA_i, \;i,j \in \{1,2,\dots,k\}, i\neq j \} \] and the set of covariance matrices \[ \bar{V}({\mathcal A}_c) \equiv \{V \in \mathbb{R}_n^{\geq} : A_iVA_i=\alpha_i A_i \;\text{and} \;A_iVA_j=0, \;A_i,A_j \in {\mathcal A}_c, \alpha_i>0, i,j \in \{1,2,\dots,k\}, i\neq j \} \] where \(\mathbb{R}_n^{\geq}\) denotes the cone consisting of all symmetric nonnegative definite matrices in \(\mathbb{R}_{n \times n}\). In the literature, it refers to the covariance matrices in \(\bar{V}({\mathcal A}_c) \) as independent chi-squared-generating (ICSG) covariance structures for the set of matrices \({\mathcal A}_c\). The authors derive two ICSG covariance structure characterization results. In the first one, they obtain an explicit expression for members of \(\bar{V}({\mathcal A}_c) \) in terms of \(A_i \in {\mathcal A}_c \) and corresponding Moore-Penrose pseudo-inverse \(A_i^{-} \in {\mathcal B}_c\), where \(i \in \{1,2,\dots,k\}\) and \[ {\mathcal B}_c \equiv \{A_i^{-} : A_i \in {\mathcal A}_c \;\text{and for each} \;A_j \in {\mathcal A}_c, A_jA_i^{-}=0, \;i,j \in \{1,2,\dots,k\}, i\neq j \}. \] In the second result, the authors characterize the set of positive definite ICSG covariance structures corresponding to the set \(\{A_1,A_2, \dots,A_k\}\) of real \(n \times n\) symmetric matrices. Finally, an example application of the proposed explicit ICSG covariance-structure characterization results fora finite cardinality \(k\) is provided.

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