The density of the inverse and pseudo-inverse of a random matrix

Ingram Olkin

Statistics & Probability Letters, 1998, vol. 38, issue 2, 131-135

Abstract: Given an absolutely continuous density of a random matrix X, we study the density of the inverse when X is a p x p symmetric, triangular and arbitrary matrix, and the pseudo-inverse when X is rectangular. In the latter case we provide alternative proofs to that of Zhang (1985), who first obtained this density.

Date: 1998
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