Characterization of matrix variate normal distributions

A. K. Gupta and T. Varga

Journal of Multivariate Analysis, 1992, vol. 41, issue 1, 80-88

Abstract: In this paper, it is shown that two random matrices have a joint matrix variate normal distribution if, conditioning each one on the other, the resulting distributions satisfy certain conditions. A general result involving more than two matrices is also proved.

Keywords: random; matrices; conditional; distributions; linearly; independent; normal; distribution (search for similar items in EconPapers)
Date: 1992
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