Complements and Supplementary Information

Pham-Gia Thu

Chapter 13 in The Multivariate Normal Distribution:Theory and Applications, 2021, pp 399-435 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionBasic Integral TransformsThe Laplace, Fourier, and Mellin transformsThe complex inversion formulaMeijer G-Functions and Fox H-FunctionsDefinitions of Meijer G-functions and Fox H-functionsConvergenceComputationSome Properties of the H-FunctionExample of the Use of Calculus of ResiduesThe Normal Distribution and the G-FunctionSome Central DistributionsUnivariate distributionsMultivariate distributionsMatrix variate distributionsSome Non-central DistributionsUnivariate distributionsNon-central matrix variate distributionsComplex Case for the Normal DistributionOne-dimensional caseVector caseMatrix caseElliptical Contour DistributionRandom Matrix TheoryGaussian ensemblesBulk and EdgesConvergenceConclusionBibliography

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
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