Wishartness and independence of matrix quadratic forms in a normal random matrix
Let Y be an nxp multivariate normal random matrix with general covariance [Sigma]Y. The general covariance [Sigma]Y of Y means that the collection of all np elements in Y has an arbitrary npxnp covariance matrix. A set of general, succinct and verifiable necessary and sufficient conditions is established for matrix quadratic forms Y'WiY's with the symmetric Wi's to be an independent family of random matrices distributed as Wishart distributions. Moreover, a set of general necessary and sufficient conditions is obtained for matrix quadratic forms Y'WiY's to be an independent family of random matrices distributed as noncentral Wishart distributions. Some usual versions of Cochran's theorem are presented as the special cases of these results.
Volume (Year): 99 (2008)
Issue (Month): 3 (March)
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References listed on IDEAS
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- 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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- 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.
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