On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension

DOI10.1090/TPMS/1078zbMATH Open1447.60037arXiv1611.03042OpenAlexW2963794411MaRDI QIDQ5218372FDOQ5218372

Authors: Taras Bodnar, Stepan Mazur, Stanislas Muhinyuza, Nestor Parolya 

Publication date: 3 March 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, using which the characteristic function of the product and its asymptotic distribution under the double asymptotic regime are established. The application of obtained stochastic representation speeds up the simulation studies where the product of a singular Wishart random matrix and a singular normal random vector is present. We further document a good performance of the derived asymptotic distribution within a numerical illustration. Finally, several important properties of the singular Wishart distribution are provided.

Full work available at URL: https://arxiv.org/abs/1611.03042

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zbMATH Keywords

high-dimensional asymptoticssingular Wishart distributionstochastic representationsingular normal distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (13)

• On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
• On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
• Distribution of the product of a singular Wishart matrix and a normal vector
• On the mean and variance of the estimated tangency portfolio weights for small samples
• Distribution of the product of a Wishart matrix and a normal vector
• Matrix variate generalized asymmetric Laplace distributions
• Bayesian estimation for misclassification rate in linear discriminant analysis
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
• Non-asymptotic results for singular values of Gaussian matrix products
• Statistical inference for the tangency portfolio in high dimension
• A note on the limiting mean distribution of singular values for products of two Wishart random matrices
• Higher order moments of the estimated tangency portfolio weights

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