On Wishart distribution: Some extensions

被引：27

作者：

Diaz-Garcia, Jose A. ^{[1
]}

Gutierrez-Jaimez, Ramon ^{[2
]}

机构：

[1] Univ Autonoma Agr Antonio Narro, Dept Stat & Computat, Saltillo 25315, Coahuila, Mexico

[2] Univ Granada, Dept Stat & OR, E-18071 Granada, Spain

来源：

LINEAR ALGEBRA AND ITS APPLICATIONS | 2011年 / 435卷 / 06期

关键词：

Jacobians; Spherical functions; Generalised hypergeometric functions; Nonsingular Wishart distribution; Noncentral distributions; Real; complex; quaternion and octonion; random matrices; MATRIX ARGUMENT; ZONAL-POLYNOMIALS; LATENT ROOTS;

D O I：

10.1016/j.laa.2011.03.007

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper proposes a unified approach that enables the Wishart distribution to be studied simultaneously in the real, complex, quaternion and octonion cases under elliptical models. In particular, the matrix multivariate elliptical distribution, the noncentral generalised Wishart distribution, the joint density of the eigenvalues and the distribution of the maximum eigenvalue are obtained for real normed division algebras. (C) 2011 Elsevier Inc. All rights reserved.

引用

页码：1296 / 1310

页数：15

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