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The Wishart distribution with two different degrees of freedom

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  • Ogasawara, Haruhiko

Abstract

Some extended Wishart distributions including two different degrees of freedom (df’s) are obtained with their probability density functions. The two different df’s are due to the sum of independent Wishart distributions with different row/column sizes of the random matrices.

Suggested Citation

  • Ogasawara, Haruhiko, 2023. "The Wishart distribution with two different degrees of freedom," Statistics & Probability Letters, Elsevier, vol. 200(C).
    • Handle: RePEc:eee:stapro:v:200:y:2023:i:c:s0167715223000901
    DOI: 10.1016/j.spl.2023.109866
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    References listed on IDEAS

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    1. Bodnar, Taras & Okhrin, Yarema, 2008. "Properties of the singular, inverse and generalized inverse partitioned Wishart distributions," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2389-2405, November.
    2. Reza Farhadian & Brenton R. Clarke, 2022. "A note on the Helmert transformation," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(15), pages 5258-5264, June.
    3. Ogasawara, Haruhiko, 2021. "A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation," Journal of Multivariate Analysis, Elsevier, vol. 183(C).
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