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Distribution of the product of singular Wishart matrix and normal vector

Bodnar, Taras; Mazur, Stepan LU and Okhrin, Yarema (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.
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organization
publishing date
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
2015-10-22 11:41:09
date last changed
2016-04-16 01:29:17
@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},
}