Noncentral matrix quadratic forms of the skew elliptical variables

B.Q. Fang

Journal of Multivariate Analysis, 2008, vol. 99, issue 6, 1105-1127

Abstract: In this paper, the noncentral matrix quadratic forms of the skew elliptical variables are studied. A family of the matrix variate noncentral generalized Dirichlet distributions is introduced as the extension of the noncentral Wishart distributions, the Dirichlet distributions and the noncentral generalized Dirichlet distributions. Main distributional properties are investigated. These include probability density and closure property under linear transformation and marginalization, the joint distribution of the sub-matrices of the matrix quadratic forms in the skew elliptical variables and the moment generating functions and Bartlett's decomposition of the matrix quadratic forms in the skew normal variables. Two versions of the noncentral Cochran's Theorem for the matrix variate skew normal distributions are obtained, providing sufficient and necessary conditions for the quadratic forms in the skew normal variables to have the matrix variate noncentral generalized Dirichlet distributions. Applications include the properties of the least squares estimation in multivariate linear model and the robustness property of the Wilk's likelihood ratio statistic in the family of the matrix variate skew elliptical distributions.

Keywords: Normal; distribution; Skew; normal; distribution; Skew; elliptical; distribution; Quadratic; forms; Cochran's; Theorem (search for similar items in EconPapers)
Date: 2008
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