A derivation of anti-Wishart distribution

Soonyu Yu, Jaena Ryu and Kyoohong Park

Journal of Multivariate Analysis, 2014, vol. 131, issue C, 121-125

Abstract: In this study, we introduce a derivation of real and complex anti-Wishart distribution, which can be summarized as integration of Dirac delta function in sample space with ‘Bartlett coordinate setting’. As a result, we can show that it extremely simplifies the derivation of anti-Wishart distribution in comparison with conventional ones.

Keywords: Wishart distribution; Anti-Wishart distribution; Complex Wishart distribution; Dirac delta function; Bartlett decomposition (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:131:y:2014:i:c:p:121-125

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DOI: 10.1016/j.jmva.2014.06.019

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