The density of the inverse and pseudo-inverse of a random matrix

Given an absolutely continuous density of a random matrix X, we study the density of the inverse when X is a p x p symmetric, triangular and arbitrary matrix, and the pseudo-inverse when X is rectangular. In the latter case we provide alternative proofs to that of Zhang (1985), who first obtained this density.

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Year of publication:	1998
Authors:	Olkin, Ingram
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 38.1998, 2, p. 131-135
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10005137701