Wishart-Laplace distributions associated with matrix quadratic forms |
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| Authors: | Joe Masaro |
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| Institution: | a 961 Marentette Ave., Windsor, ON, Canada N9A 2A2
b University of Windsor, Windsor, Ontario, Canada N9B 3P4 |
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| Abstract: | For a normal random matrix Y with mean zero, necessary and sufficient conditions are obtained for Y′WkY to be Wishart-Laplace distributed and {Y′WkY} to be independent, where each Wk is assumed to be symmetric rather than nonnegative definite. |
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| Keywords: | primary 62H05 secondary 62H10 |
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