On the Marginal Distribution of the Diagonal Blocks in a Blocked Wishart Random Matrix

Kjetil B. Halvorsen, Victor Ayala and Eduardo Fierro

International Journal of Analysis, 2016, vol. 2016, 1-5

Abstract:

Let be a blocked Wishart random matrix with diagonal blocks of orders and . The goal of the paper is to find the exact marginal distribution of the two diagonal blocks of . We find an expression for this marginal density involving the matrix-variate generalized hypergeometric function. We became interested in this problem because of an application in spatial interpolation of random fields of positive definite matrices, where this result will be used for parameter estimation, using composite likelihood methods.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hin:ijanal:5967218

DOI: 10.1155/2016/5967218

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