In this sense, the Wishart distribution can be considered a generalization of the Gamma distribution (take point 2 above and substitute normal random variables with multivariate normal random vectors, squares with outer products and the variance with the covariance matrix ). At the bottom of this p...
An Alternative Proof for a Known Result of Noncentral Wishart DistributionLeeT.-S.ChangK.-C.ingentaconnectProbability in the Engineering & Informational Sciences
We also briefly mention some related properties without proof. See [15] for the proof. First we clarify the meaning of the limiting process (2). Let ai=yiz=1zλi+1λi,i=1,…,p−1,a=(a1,…,ap−1). We also define a0=ap=0 for unified description of statements including ai’s...
once it is known that Wishartness holds.The charac-terizations of Wishartness of Y$Q Y,given in Section 2(Theorems 1 and 2,Corollary 1), are all derived using only elementary properties of the Wishart distribution.Corollary 1 provides an explicit and complete charac-terization of the class ...
This paper establishes a link between a generalized matrix Matsumoto鈥揧or (MY) property and the Wishart distribution. This link highlights certain conditional independence properties within blocks of the Wishart and leads to a new characterization of the Wishart distribution similar to the one recently...