Spherical Matrix Distributions and Cauchy Quotients
AbstractIt is shown that matrix quotients of submatrices of a spherical matrix are distributed as matrix Cauchy. This generalizes known results for scalar ratios of independent normal variates. The derivations are simple and make use of the theory of invariant measures on manifolds.
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Bibliographic InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 823.
Length: 5 pages
Date of creation: Feb 1987
Date of revision:
Publication status: Published in Statistics and Probability Letters (1989), 8: 51-53
Note: CFP 729.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
Other versions of this item:
- Phillips, P. C. B., 1989. "Spherical matrix distributions and cauchy quotients," Statistics & Probability Letters, Elsevier, vol. 8(1), pages 51-53, May.
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- Peter C.B. Phillips, 1991. "Unidentified Components in Reduced Rank Regression Estimation of ECM's," Cowles Foundation Discussion Papers 1003, Cowles Foundation for Research in Economics, Yale University.
- Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 0692, European Central Bank.
- Peter C.B. Phillips, 1992.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models,"
Cowles Foundation Discussion Papers
1039, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C B, 1994. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
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