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Wishart-Laplace distributions associated with matrix quadratic forms

Author

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  • Masaro, Joe
  • Wong, Chi Song

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.

Suggested Citation

  • Masaro, Joe & Wong, Chi Song, 2010. "Wishart-Laplace distributions associated with matrix quadratic forms," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1168-1178, May.
  • Handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1168-1178
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    References listed on IDEAS

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    1. Mathew, Thomas, 1989. "MANOVA in the multivariate components of variance model," Journal of Multivariate Analysis, Elsevier, vol. 29(1), pages 30-38, April.
    2. Wong, C. S. & Wang, T. H., 1993. "Multivariate Versions of Cochran's Theorems II," Journal of Multivariate Analysis, Elsevier, vol. 44(1), pages 146-159, January.
    3. Wong, Chi Song & Masaro, Joe & Wang, Tonghui, 1991. "Multivariate versions of Cochran's theorems," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 154-174, October.
    4. Mathew, Thomas & Nordström, Kenneth, 1997. "Wishart and Chi-Square Distributions Associated with Matrix Quadratic Forms," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 129-143, April.
    5. Mathai, A. M., 1993. "On Noncentral Generalized Laplacianness of Quadratic Forms in Normal Variables," Journal of Multivariate Analysis, Elsevier, vol. 45(2), pages 239-246, May.
    6. Masaro, Joe & Wong, Chi Song, 2003. "Wishart distributions associated with matrix quadratic forms," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 1-9, April.
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