Wishartness and independence of matrix quadratic forms in a normal random matrix

Jianhua Hu

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 555-571

Abstract: Let Y be an nxp multivariate normal random matrix with general covariance [Sigma]Y. The general covariance [Sigma]Y of Y means that the collection of all np elements in Y has an arbitrary npxnp covariance matrix. A set of general, succinct and verifiable necessary and sufficient conditions is established for matrix quadratic forms Y'WiY's with the symmetric Wi's to be an independent family of random matrices distributed as Wishart distributions. Moreover, a set of general necessary and sufficient conditions is obtained for matrix quadratic forms Y'WiY's to be an independent family of random matrices distributed as noncentral Wishart distributions. Some usual versions of Cochran's theorem are presented as the special cases of these results.

Keywords: primary; 62.40; secondary; 62E15; Cochran's; theorem; Independence; Matrix; quadratic; form; Noncentral; Wishart; distribution; Wishart; distribution; Wishartness (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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