Singular random matrix decompositions: distributions

DOI10.1016/J.JMVA.2004.08.003MaRDI QIDQ557991zbMATH OpenOpenAlexFDO

Authors José A. Díaz-García, Graciela González-Farías

Publication date 30 June 2005

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2004.08.003

zbMATH Keywords

\(QR\)\(SVD\)Elliptical distributionGeneralized Wishart and pseudo-Wishart distributionsModified \(QR\) and polar decompositionsNon-central singular distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

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Cited in

(17)

• Singular matric and matrix variate \(t\) distributions
• Predictive inference for singular multivariate elliptically contoured distributions
• Singular random matrix decompositions: Jacobians
• Spherical ensembles
• A note about measures and Jacobians of singular random matrices
• Distribution of linear statistics of singular values of the product of random matrices
• Singular matrix variate beta distribution
• Singular extended skew-elliptical distributions
• Estimation of a high-dimensional covariance matrix with the Stein loss
• Generalised shape theory via pseudo-Wishart distribution
• Invariance properties of the likelihood ratio for covariance matrix estimation in some complex elliptically contoured distributions
• Statistical theory of shape under elliptical models via QR decomposition
• Doubly noncentral singular matrix variate beta distributions
• On Wishart distribution: some extensions
• Singular matrix variate Birnbaum-Saunders distribution under elliptical models
• Inverse Wishart distributions based on singular elliptically contoured distributions
• On the distribution of the left singular vectors of a random matrix and its applications

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