Singular random matrix decompositions: distributions
Assuming that Y has a singular matrix variate elliptically contoured distribution with respect to the Hausdorff measure, the distributions of several matrices associated to QR, modified QR, SV and polar decompositions of matrix Y are determined, for central and non-central, non-singular and singular cases, as well as their relationship to the Wishart and pseudo-Wishart generalized singular and non-singular distributions. Some of these results are also applied to two particular subfamilies of elliptical distributions, the singular matrix variate normal distribution and the singular matrix variate symmetric Pearson type VII distribution.
Year of publication: |
2005
|
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Authors: | Díaz-García, José A. ; González-Farías, Graciela |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 94.2005, 1, p. 109-122
|
Publisher: |
Elsevier |
Keywords: | Non-central singular distribution Generalized Wishart and pseudo-Wishart distributions Elliptical distribution SVD QR Modified QR and polar decompositions |
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