Distribution of matrix quadratic forms under skew-normal settings

For a class of skew-normal matrix distributions, the density function, moment generating function and independence conditions are obtained. The noncentral skew Wishart distribution is defined, and the necessary and sufficient conditions under which a quadratic form is noncentral skew Wishart distributed random matrix are established. A new version of Cochran’s theorem is given. For illustration, our main results are applied to two examples.

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Year of publication:	2014
Authors:	Ye, Rendao ; Wang, Tonghui ; Gupta, Arjun K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 131.2014, C, p. 229-239
Publisher:	Elsevier
Subject:	Skew-normal matrix distribution \| Noncentral skew Wishart distribution \| Generalized noncentral skew Wishart distribution \| Moment generating function \| Cochran’s theorem

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

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