Distribution of the product of singular Wishart matrix and normal vector
(2014) In Theory of Probability and Mathematical Statistics p.1-14- Abstract
- In this paper we derive a very useful formula for the stochastic representation of the product of a singular Wishart matrix with a normal vector. Using this result, the expressions of the density
function as well as of the characteristic function are established. Moreover, the derived stochastic representation is used to generate random samples from product which leads to a considerable improvement
in the computation efficiency. Finally, we present several important properties of the singular Wishart distribution, like its characteristic function and distributional properties of the partitioned singular Wishart matrix.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8082787
- author
- Bodnar, Taras ; Mazur, Stepan LU and Okhrin, Yarema
- organization
- publishing date
- 2014
- type
- Contribution to specialist publication or newspaper
- publication status
- published
- subject
- categories
- Popular Science
- in
- Theory of Probability and Mathematical Statistics
- issue
- 91
- pages
- 1 - 14
- publisher
- American Mathematical Society (AMS)
- ISSN
- 1547-7363
- language
- English
- LU publication?
- yes
- id
- b03e3393-7dd4-49dd-98a6-35a6f74d6694 (old id 8082787)
- date added to LUP
- 2016-04-01 14:36:38
- date last changed
- 2018-11-21 20:28:23
@misc{b03e3393-7dd4-49dd-98a6-35a6f74d6694, abstract = {{In this paper we derive a very useful formula for the stochastic representation of the product of a singular Wishart matrix with a normal vector. Using this result, the expressions of the density<br/><br> function as well as of the characteristic function are established. Moreover, the derived stochastic representation is used to generate random samples from product which leads to a considerable improvement<br/><br> in the computation efficiency. Finally, we present several important properties of the singular Wishart distribution, like its characteristic function and distributional properties of the partitioned singular Wishart matrix.}}, author = {{Bodnar, Taras and Mazur, Stepan and Okhrin, Yarema}}, issn = {{1547-7363}}, language = {{eng}}, number = {{91}}, pages = {{1--14}}, publisher = {{American Mathematical Society (AMS)}}, series = {{Theory of Probability and Mathematical Statistics}}, title = {{Distribution of the product of singular Wishart matrix and normal vector}}, year = {{2014}}, }