Orthogonally Invariant Sequences as Gaussian Scale Mixtures: An Alternate Proof

R. A. Vitale

Journal of Multivariate Analysis, 1993, vol. 45, issue 2, 234-238

Abstract: Using a factorization of a standard Gaussian matrix, we show that a sequence of random variables, the finite sections of which are orthogonally invariant in distribution, must be a scale mixture of independent standard Gaussian variables.

Date: 1993
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