Wishart-Laplace distributions associated with matrix quadratic forms

Joe Masaro and Chi Song Wong

Journal of Multivariate Analysis, 2010, vol. 101, issue 5, 1168-1178

Abstract: For a normal random matrix Y with mean zero, necessary and sufficient conditions are obtained for Y'WkY to be Wishart-Laplace distributed and {Y'WkY} to be independent, where each Wk is assumed to be symmetric rather than nonnegative definite.

Keywords: Matrix; quadratic; form; Laplacian; distribution; Wishart; distribution; Jordan; algebras; Multivariate; normal; matrix; Cochran; theorem (search for similar items in EconPapers)
Date: 2010
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