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On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector

Kotsiuba, Igor; Franko, Ivan and Mazur, Stepan LU (2015) In Working Papers in Statistics
Abstract
In this paper we study the distribution of the product of an inverse

Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.
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author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
Wishart distribution, multivariate normal distribution, integral approximation
in
Working Papers in Statistics
issue
11
pages
14 pages
publisher
Department of Statistics, Lund university
language
English
LU publication?
yes
id
4b8fde2a-91c5-4d98-a015-419d8580e3d1 (old id 8310051)
date added to LUP
2015-12-09 16:32:59
date last changed
2016-04-16 08:27:43
@misc{4b8fde2a-91c5-4d98-a015-419d8580e3d1,
  abstract     = {In this paper we study the distribution of the product of an inverse<br/><br>
Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.},
  author       = {Kotsiuba, Igor and Franko, Ivan and Mazur, Stepan},
  keyword      = {Wishart distribution,multivariate normal distribution,integral approximation},
  language     = {eng},
  number       = {11},
  pages        = {14},
  publisher    = {ARRAY(0x81d1b08)},
  series       = {Working Papers in Statistics},
  title        = {On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector},
  year         = {2015},
}