On Wishart distribution: some extensions

DOI10.1016/J.LAA.2011.03.007zbMATH Open1221.15051arXiv1010.1799OpenAlexW2093973660MaRDI QIDQ551285FDOQ551285

Authors: José A. Díaz-García, Ramón Gutiérrez-Jáimez 

Publication date: 15 July 2011

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: This paper proposes a unified approach that enables the Wishart distribution to be studied simultaneously in the real, complex, quaternion and octonion cases. In particular, the noncentral generalised Wishart distribution, the joint density of the eigenvalues and the distribution of the maximum eigenvalue are obtained for real normed division algebras.

Full work available at URL: https://arxiv.org/abs/1010.1799

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zbMATH Keywords

random matricesJacobiansspherical functionsgeneralised hypergeometric functionsnoncentral distributionsnonsingular Wishart distributionreal, complex, quaternion and octonion matrices

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Matrices over special rings (quaternions, finite fields, etc.) (15B33)

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Cited In (30)

• Volumes and distributions for random unimodular complex and quaternion lattices
• Title not available (Why is that?)
• Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics
• A unified complex noncentral Wishart type distribution inspired by massive MIMO systems
• A derivation of anti-Wishart distribution
• A generalization of the Wishart distribution
• Algorithm for the product of Jack polynomials and its application to the sphericity test
• Integral representation of quaternion elliptical density and its applications
• Approximating by the Wishart distribution
• Matricvariate and matrix multivariate \(T\) distributions and associated distributions
• On two extensions of the canonical Feller-Spitzer distribution
• Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues
• Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
• Computation of the expected Euler characteristic for the largest eigenvalue of a real non-central Wishart matrix
• On the anti-Wishart distribution
• Wishart and pseudo-Wishart distributions and some applications to shape theory
• Covariance matrix estimation under data-based loss
• On Riesz distribution
• On the real representation of quaternion random variables
• Title not available (Why is that?)
• Elliptical affine shape distributions for real normed division algebras
• The Wishart distribution with two different degrees of freedom
• Matricvariate and matrix multivariate Pearson type II distributions and related distributions
• Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
• Spherical ensembles
• Wishart distributions: advances in theory with Bayesian application
• ON SELBERG-TYPE SQUARE MATRICES INTEGRALS
• The Wishart distribution on symmetric cones
• Distribution theory of quadratic forms for matrix multivariate elliptical distribution
• Parametrising correlation matrices

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