The Wishart distribution with two different degrees of freedom

Haruhiko Ogasawara

Statistics & Probability Letters, 2023, vol. 200, issue C

Abstract: Some extended Wishart distributions including two different degrees of freedom (df’s) are obtained with their probability density functions. The two different df’s are due to the sum of independent Wishart distributions with different row/column sizes of the random matrices.

Keywords: Multivariate normality; Known or unknown parameter; Cross product; Multivariate multiple regression; Projection matrix (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109866

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