Singular matrix variate beta distribution

José A. Díaz-García and Ramón Gutiérrez Jáimez

Journal of Multivariate Analysis, 2008, vol. 99, issue 4, 637-648

Abstract: In this paper, we determine the symmetrised density of doubly noncentral singular matrix variate beta type I and II distributions under different definitions. As particular cases we obtain the noncentral singular matrix variate beta type I and II distributions and the corresponding joint density of the nonnull eigenvalues. In addition, we propose an alternative approach to find the corresponding nonsymmetrised densities. From the latter, we solve the integral proposed by Constantine [Noncentral distribution problems in multivariate analysis, Ann. Math. Statist. 34 (1963) 1270-1285] and Khatri [A note on Mitra's paper "A density free approach to the matrix variate beta distribution", Sankhya A 32 (1970) 311-318] and reconsidered in Farrell [Multivariate Calculation: Use of the Continuous Groups, Springer Series in Statistics, Springer, New York, 1985, p. 191], see also Díaz-García and Gutiérrez-Jáimez [Noncentral matrix variate beta distribution, Comunicación Técnica, No. I-06-06 (PE/CIMAT), Guanajuato, México, 2006, ], for the singular and nonsingular cases.

Keywords: Random; matrices; Doubly; noncentral; distribution; Noncentral; distribution; Matrix; variate; beta; Singular; distribution; Hausdorff; measure (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (1)

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