Wishart distributions associated with matrix quadratic forms

For a normally distributed random matrix Y with mean zero and general covariance matrix [Sigma]Y and for a symmetric matrix W, necessary and sufficient conditions are derived for the Wishartness of Y'WY.

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Year of publication:	2003
Authors:	Masaro, Joe ; Wong, Chi Song
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 85.2003, 1, p. 1-9
Publisher:	Elsevier
Keywords:	Matrix quadratic form Wishart distribution Cochran's theorem

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

Persistent link: https://www.econbiz.de/10005006518