Singular matrix variate beta distribution
In this paper, we determine the symmetrised density of doubly noncentral singular matrix variate beta type I and II distributions under different definitions. As particular cases we obtain the noncentral singular matrix variate beta type I and II distributions and the corresponding joint density of the nonnull eigenvalues. In addition, we propose an alternative approach to find the corresponding nonsymmetrised densities. From the latter, we solve the integral proposed by Constantine [Noncentral distribution problems in multivariate analysis, Ann. Math. Statist. 34 (1963) 1270-1285] and Khatri [A note on Mitra's paper "A density free approach to the matrix variate beta distribution", Sankhya A 32 (1970) 311-318] and reconsidered in Farrell [Multivariate Calculation: Use of the Continuous Groups, Springer Series in Statistics, Springer, New York, 1985, p. 191], see also Díaz-García and Gutiérrez-Jáimez [Noncentral matrix variate beta distribution, Comunicación Técnica, No. I-06-06 (PE/CIMAT), Guanajuato, México, 2006, <http://www.cimat.mx/biblioteca/RepTec/index.html?m=2>], for the singular and nonsingular cases.
Year of publication: |
2008
|
---|---|
Authors: | Díaz-García, José A. ; Gutiérrez Jáimez, Ramón |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 99.2008, 4, p. 637-648
|
Publisher: |
Elsevier |
Keywords: | Random matrices Doubly noncentral distribution Noncentral distribution Matrix variate beta Singular distribution Hausdorff measure |
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