A characterization of matrix variate normal distribution

Khoan T. Dinh and Truc T. Nguyen

International Journal of Mathematics and Mathematical Sciences, 1994, vol. 17, 1-6

Abstract:

The joint normality of two random vectors is obtained based on normal conditional with linear regression and constant covariance matrix of each vector given the value of the other without assuming the existence of the joint density. This result is applied to a characterization of matrix variate normal distribution.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:451743

DOI: 10.1155/S0161171294000475

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