EconPapers    
Economics at your fingertips  
 

Matrix Variate Distributions

Pham-Gia Thu

Chapter 12 in The Multivariate Normal Distribution:Theory and Applications, 2021, pp 377-398 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionSquare Random MatricesRectangular Random MatricesNormal Matrix VariatePropertiesDerived matrix distributionsFrom the Normal to the Gamma Family of DistributionsThe Wishart DistributionIts entries distributionCharacteristic functionAdditivityThe diagonal submatrices of a Wishart matrixDistributions of some ratiosBartlett decompositionDeterminant distributionLatent roots of a Wishart matrixThe Generalized VarianceExpression of the generalized varianceExpression of the density of the sample generalized varianceEstimation of |Σ|Numerical illustrationThe Matrix Variate Gamma DistributionThe Central Matrix Variate Beta DistributionsEntries distributionsDeterminant distributionLatent roots distributionsDecomposition of a beta matrix variateWilks’s distributionsConclusionBibliography

Keywords: Univariate Normal; Multivariate; Random Variable; Random Vector; Random Matrix; Applications: Education; Psychology; Quality Control; Pattern Recognition (search for similar items in EconPapers)
JEL-codes: C01 C1 C15 C4 C46 (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789811235290_0012 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789811235290_0012 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789811235290_0012

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

 
Page updated 2025-07-20
Handle: RePEc:wsi:wschap:9789811235290_0012