The distribution of symmetric matrix quotients

Phillips (J. Multivariate Anal. 16 (1985) 157) generalizes Cramer's (Mathematical Methods of Statistics, Princeton University Press, Princeton, NJ, 1946) inversion formula for the distribution of a quotient of two scalar random variables to the matrix quotient case. However, he gives the result for the asymmetric matrix quotient case. This note extends Phillips' (1985) result to the symmetric matrix quotient case.

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Year of publication:	2003
Authors:	Gupta, A. K. ; Kabe, D. G.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 87.2003, 2, p. 413-417
Publisher:	Elsevier
Keywords:	Matrix variate Positive definite Density Transformation Moment generating function Inversion formula

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

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