Distribution theory of quadratic forms with matrix argument

arXiv1210.5283MaRDI QIDQ6236484FDOQ6236484

Authors: José A. Díaz-García 

Publication date: 18 October 2012

Abstract: This paper proposes the density and characteristic functions of a general matrix quadratic form $mathbf{X}^{\ast }mathbfAX$, when $mathbfA=mathbf{A}^{\ast }$, $mathbfX$ has a matrix multivariate elliptical distribution and $mathbf{X}^{\ast }$ denotes the usual conjugate transpose of $mathbfX$. These results are obtained for real normed division algebras. With particular cases we obtained the density and characteristic functions of matrix quadratic forms for matrix multivariate normal, Pearson type VII, $t$ and Cauchy distributions.

This page was built for publication: Distribution theory of quadratic forms with matrix argument

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6236484)