A generalization of Bartlett's decomposition

P. Barone

Statistics & Probability Letters, 2011, vol. 81, issue 3, 371-381

Abstract: Bartlett's decomposition provides the distributional properties of the elements of the Cholesky factor of A=GTG where the elements of G are i.i.d. standard Gaussian random variables. In this paper the most general case where the elements of G have a joint multivariate Gaussian density is considered.

Keywords: Random; matrices; QR; factorization; Orthogonal; polynomials (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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