The marginal probability density functions of Wishart probability density function

DOI10.17654/TS054030239MaRDI QIDQ5204668zbMATH OpenOpenAlexWikidataFDO

Authors Yongshun Xiao

Publication date 5 December 2019

Published in Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/ts054030239

zbMATH Keywords

correlation matrixdirect evaluationintegral representationmarginal probability density functionspositive-definite matrixWishart multivariate gamma functionWishart probability density function

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(5)

• Multivariate reciprocal inverse Gaussian distributions from the Sabot-Tarrès-Zeng integral
• Integral representations and approximations for multivariate gamma distributions
• On the solution of a non-central Behrens-Fisher problem with a non-zero population correlation coefficient
• Marginal densities of the Wishart distribution.
• Dirichlet partition on symmetric matrices

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