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Spherical matrix distributions and cauchy quotients

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  • Phillips, P. C. B.

Abstract

It 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.

Suggested Citation

  • Phillips, P. C. B., 1989. "Spherical matrix distributions and cauchy quotients," Statistics & Probability Letters, Elsevier, vol. 8(1), pages 51-53, May.
  • Handle: RePEc:eee:stapro:v:8:y:1989:i:1:p:51-53
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    Cited by:

    1. Warne, Anders, 2006. "Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank.
    2. 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.
    3. 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.

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