The necessary and sufficient conditions for dependent quadratic forms to be distributed as multivariate gamma
Let S be distributed as noncentral Wishart given by Wp(m, [Sigma], [Omega]) and let x be an n - 1 random vector distributed as N([mu], V). If qi = x'Aix + 2l'ix + ci, i = 1, 2,..., p, are p dependent second degree polynomials in the elements of x where Aj's are symmetric matrices, then the necessary and sufficient conditions for q1 , q2 ,..., qp to be distributed as the diagonal elements of S are established and this generalizes the result for [Sigma] = I. Some special cases are considered.
Year of publication: |
1980
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Authors: | Khatri, C. G. |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 10.1980, 2, p. 233-242
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Publisher: |
Elsevier |
Keywords: | Second degree polynomials multivariate normal identically distributed eigenvalues connected structure |
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