Properties of the singular, inverse and generalized inverse partitioned Wishart distributions

Taras Bodnar and Yarema Okhrin

Journal of Multivariate Analysis, 2008, vol. 99, issue 10, 2389-2405

Abstract: In this paper we discuss the distributions and independency properties of several generalizations of the Wishart distribution. First, an analog to Muirhead [R.J. Muirhead, Aspects of Multivariate Statistical Theory, Wiley, New York, 1982] Theorem 3.2.10 for the partitioned matrix is established in the case of arbitrary partitioning for singular and inverse Wishart distributions. Second, the density of is derived in the case of singular, non-central singular, inverse and generalized inverse Wishart distributions. The importance of the derived results is illustrated with an example from portfolio theory.

Keywords: 62H10; 62H15; Inverse; Wishart; Generalized; inverse; Wishart; Partitioned; matrices; Singular; Wishart (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (26)

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