Singular random matrix decompositions: distributions

José A. Díaz-García and Graciela González-Farías

Journal of Multivariate Analysis, 2005, vol. 94, issue 1, 109-122

Abstract: Assuming that Y has a singular matrix variate elliptically contoured distribution with respect to the Hausdorff measure, the distributions of several matrices associated to QR, modified QR, SV and polar decompositions of matrix Y are determined, for central and non-central, non-singular and singular cases, as well as their relationship to the Wishart and pseudo-Wishart generalized singular and non-singular distributions. Some of these results are also applied to two particular subfamilies of elliptical distributions, the singular matrix variate normal distribution and the singular matrix variate symmetric Pearson type VII distribution.

Keywords: Non-central; singular; distribution; Generalized; Wishart; and; pseudo-Wishart; distributions; Elliptical; distribution; SVD; QR; Modified; QR; and; polar; decompositions (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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