Wishart distributions associated with matrix quadratic forms

Joe Masaro and Chi Song Wong

Journal of Multivariate Analysis, 2003, vol. 85, issue 1, 1-9

Abstract: For a normally distributed random matrix Y with mean zero and general covariance matrix [Sigma]Y and for a symmetric matrix W, necessary and sufficient conditions are derived for the Wishartness of Y'WY.

Keywords: Matrix; quadratic; form; Wishart; distribution; Cochran's; theorem (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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