Characterization of matrix variate normal distributions

In this paper, it is shown that two random matrices have a joint matrix variate normal distribution if, conditioning each one on the other, the resulting distributions satisfy certain conditions. A general result involving more than two matrices is also proved.

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Year of publication:	1992
Authors:	Gupta, A. K. ; Varga, T.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 41.1992, 1, p. 80-88
Publisher:	Elsevier
Keywords:	random matrices conditional distributions linearly independent normal distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160526