IDEAS home Printed from https://ideas.repec.org/a/ibn/ijspjl/v9y2020i5p79.html
   My bibliography  Save this article

Revisit the Wishart Distributionm

Author

Listed:
  • William Chen

Abstract

If S_pxp can be written as S=X' X , where X_nxp is a data matrix from N_p(0,V) , then S is said to have a Wishart distribution with scale matrix V of degree of freedom parameter n. We write S~W_p(V,n). When V=I, the distribution is said to be in standard form. When p=1, the W_1(σ^2, n) distribution is found to be Σ^n_i=1(x^2_i) , where the elements of x_i are identically independently distributed unit normal variables; being the σ^2(x_n)^2 distribution. Although Anderson (1984, p248~249) has presented two theorems for the Wishart distribution. In the following we give an alternative proof.

Suggested Citation

  • William Chen, 2020. "Revisit the Wishart Distributionm," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 9(5), pages 1-79, September.
    • Handle: RePEc:ibn:ijspjl:v:9:y:2020:i:5:p:79
    as

    Download full text from publisher

    File URL: http://www.ccsenet.org/journal/index.php/ijsp/article/download/0/0/43557/45707
    Download Restriction: no
    File URL: http://www.ccsenet.org/journal/index.php/ijsp/article/view/0/43557
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibn:ijspjl:v:9:y:2020:i:5:p:79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Canadian Center of Science and Education (email available below). General contact details of provider: https://edirc.repec.org/data/cepflch.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.