On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/8310051
- author
- Kotsiuba, Igor ; Franko, Ivan and Mazur, Stepan LU
- organization
- publishing date
- 2015
- type
- Working paper/Preprint
- 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
- 2016-04-04 10:51:42
- date last changed
- 2018-11-21 21:01:13
@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}}, keywords = {{Wishart distribution; multivariate normal distribution; integral approximation}}, language = {{eng}}, note = {{Working Paper}}, number = {{11}}, publisher = {{Department of Statistics, Lund university}}, series = {{Working Papers in Statistics}}, title = {{On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector}}, url = {{https://lup.lub.lu.se/search/files/5638496/8310061.pdf}}, year = {{2015}}, }