DISTRIBUTION OF THE PRODUCT OF A WISHART MATRIX AND A NORMAL VECTOR

被引：1

作者：

Yonenaga, Koshiro ^{[1
]}

Suzukawa, Akio ^{[2
]}

机构：

[1] Hokkaido Univ, Fac Educ, Sapporo, Japan

[2] Hokkaido Univ, Fac Econ & Business, Sapporo, Japan

来源：

THEORY OF PROBABILITY AND MATHEMATICAL STATISTICS | 2023年

关键词：

Wishart distribution; multivariate normal distribution; moment; INVERSE WISHART; MOMENTS;

D O I：

10.1090/tpms/1193

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the distribution of the product of a Wishart matrix and a normal vector with uncommon covariance matrices. We derive the stochastic repre-sentation which reduces the computational burden for the generation of realizations of the product. Using this representation, the density function and higher order mo-ments of the product are derived. In a numerical illustration, we investigate some properties of the distribution of the product. We further suggest the Edgeworth type expansions for the product, and we observe that the suggested approximations provide a good performance for moderately large degrees of freedom of a Wishart matrix.

引用

页码：209 / 224

页数：16

共 29 条

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