Distribution of matrix quadratic forms under skew-normal settings

Rendao Ye, Tonghui Wang and Arjun K. Gupta

Journal of Multivariate Analysis, 2014, vol. 131, issue C, 229-239

Abstract: For a class of skew-normal matrix distributions, the density function, moment generating function and independence conditions are obtained. The noncentral skew Wishart distribution is defined, and the necessary and sufficient conditions under which a quadratic form is noncentral skew Wishart distributed random matrix are established. A new version of Cochran’s theorem is given. For illustration, our main results are applied to two examples.

Keywords: Skew-normal matrix distribution; Noncentral skew Wishart distribution; Generalized noncentral skew Wishart distribution; Moment generating function; Cochran’s theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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DOI: 10.1016/j.jmva.2014.07.001

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