Quadratic Forms and Other Functions of Elliptically Contoured Matrices

Arjun K. Gupta, Tamas Varga and Taras Bodnar
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Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics
Tamas Varga: Damjanich
Taras Bodnar: Humboldt-University of Berlin, Department of Mathematics

Chapter Chapter 5 in Elliptically Contoured Models in Statistics and Portfolio Theory, 2013, pp 125-144 from Springer

Abstract: Abstract In this chapter, we study how results, similar to Cochran’s theorem can bederived for matrix variate elliptically contoured distributions. We also present several resultson ranks of quadratic forms as well as on distributions of invariant functions of random matrices.

Keywords: Elliptically Contoured Distributions; Quadratic Form; Invariant Function; Random Matrices; Variance Matrix (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4614-8154-6_5

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DOI: 10.1007/978-1-4614-8154-6_5

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