Wishart distributions: Advances in theory with Bayesian application

Andriëtte Bekker, Janet van Niekerk and Mohammad Arashi

Journal of Multivariate Analysis, 2017, vol. 155, issue C, 272-283

Abstract: In this paper, we generalize the Wishart distribution utilizing a fresh approach that leads to the hypergeometric Wishart generator distribution with the Wishart generator and the Wishart as special cases. Important statistical characteristics are derived. The significance of this generator distribution is further demonstrated by assuming a special case as a prior for the underlying matrix variate normal model.

Keywords: Bayesian estimation; Frobenius norm; Hypergeometric Wishart; Matrix-variate convergence; Matrix-variate normal; Wishart distribution (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X16302317
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:155:y:2017:i:c:p:272-283

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2016.12.002

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().