On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory

被引:24
作者
Bodnar, Taras [1 ]
Okhrin, Yarema [2 ]
机构
[1] European Univ Viadrina, Dept Stat, D-15207 Frankfurt, Oder, Germany
[2] Univ Augsburg, Dept Stat, D-8900 Augsburg, Germany
关键词
inverse Wishart distribution; multivariate distribution; special functions; WEIGHTS; MATRICES; MOMENTS;
D O I
10.1111/j.1467-9469.2011.00729.x
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
In this article we analyse the product of the inverse Wishart matrix and a normal vector. We derive the explicit joint distribution of the components of the product. Furthermore, we suggest several exact tests of general linear hypothesis about the elements of the product. We illustrate the developed techniques on examples from discriminant analysis and from portfolio theory.
引用
收藏
页码:311 / 331
页数:21
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