Spherical Matrix Distributions and Cauchy Quotients

Peter Phillips

No 823, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: It is shown that matrix quotients of submatrices of a spherical matrix are distributed as matrix Cauchy. This generalizes known results for scalar ratios of independent normal variates. The derivations are simple and make use of the theory of invariant measures on manifolds.

Keywords: Cauchy quotients; invariant measures; matrix variates; spherical distributions (search for similar items in EconPapers)
Pages: 5 pages
Date: 1987-02
Note: CFP 729.
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Citations: View citations in EconPapers (2)

Published in Statistics and Probability Letters (1989), 8: 51-53

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