Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
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Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 4084766 (Why is no real title available?)
- scientific article; zbMATH DE number 3655180 (Why is no real title available?)
- scientific article; zbMATH DE number 1077338 (Why is no real title available?)
- scientific article; zbMATH DE number 3357752 (Why is no real title available?)
- scientific article; zbMATH DE number 3390199 (Why is no real title available?)
- A test for the weights of the global minimum variance portfolio in an elliptical model
- A well-conditioned estimator for large-dimensional covariance matrices
- Distributional properties of portfolio weights
- Multivariate Beta Distributions and Independence Properties of the Wishart Distribution
- On Multivariate Distribution Theory
- On improved estimation of normal precision matrix and discriminant coefficients
- On singular Wishart and singular multivariate beta distributions
- On the Mutual Independence of Certain Statistics
- Proof of the conjectures of H. Uhlig on the singular multivariate beta and the Jacobian of a certain matrix transformation
- Singular Wishart and multivariate beta distributions
- The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
- The distribution of the sample minimum-variance frontier
- Wishart and pseudo-Wishart distributions and some applications to shape theory
Cited in
(34)- Optimal variable selection in multi-group sparse discriminant analysis
- 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
- Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
- Distribution of the product of a singular Wishart matrix and a normal vector
- Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation
- On the singular gamma, Wishart, and beta matrix‐variate density functions
- Distribution of the product of a Wishart matrix and a normal vector
- Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory
- Bayesian estimation for misclassification rate in linear discriminant analysis
- A test on the location of the tangency portfolio on the set of feasible portfolios
- On Disguised Inverted Wishart Distribution
- Singular matrix variate Birnbaum-Saunders distribution under elliptical models
- Singular inverse Wishart distribution and its application to portfolio theory
- Variable selection of linear programming discriminant estimator
- Heterogeneous hypergeometric functions with two matrix arguments and the exact distribution of the largest eigenvalue of a singular beta-Wishart matrix
- On the mean and variance of the generalized inverse of a singular Wishart matrix
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Singular Wishart and multivariate beta distributions
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
- Robust surveillance of covariance matrices using a single observation
- A note about measures, Jacobians and Moore-Penrose inverse
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
- Multivariate Wishart stochastic volatility and changes in regime
- The Wishart distribution with two different degrees of freedom
- An exact test about the covariance matrix
- Autoregressive mixture models for clustering time series
- Discriminant analysis in small and large dimensions
- Exact test theory in Gaussian graphical models
- On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
- An exact test for a column of the covariance matrix based on a single observation
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