Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
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Publication:957321
DOI10.1016/J.JMVA.2008.02.024zbMATH Open1151.62046OpenAlexW2072145805MaRDI QIDQ957321FDOQ957321
Authors: Taras Bodnar, Yarema Okhrin 
Publication date: 27 November 2008
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.024
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Cited In (34)
- 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
- Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
- On the singular gamma, Wishart, and beta matrix‐variate density functions
- Distribution of the product of a Wishart matrix and a normal vector
- Infinitely divisible matrix gamma distribution: asymptotic behaviour and parameters estimation
- 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
- SEQUENTIAL SURVEILLANCE OF THE TANGENCY PORTFOLIO WEIGHTS
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- Robust surveillance of covariance matrices using a single observation
- A note about measures, Jacobians and Moore-Penrose inverse
- Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
- The Wishart distribution with two different degrees of freedom
- Multivariate Wishart stochastic volatility and changes in regime
- 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
- Optimal variable selection in multi-group sparse discriminant analysis
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