Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
권호 표지

Some Results of Non-Central Wishart Distribution

  • Chul Kang (Department of Liberal Arts and Science, Ansung National University) ;
  • Jong Tae Park (Department of Computer Science and Statistics, Pyongtaek University)
  • Published : 1998.08.01
Download PDF
⟨ Previous Next ⟩

Abstract

This paper first examines the skewness of Wishart distribution, using Tracy and Sultan(1993)'s results. Second, it investigates the variance-covariance matrix of random matrix $S_Y=YY'$ which has a non-central Wishart distribution. Third, it proposes the exact form of the third moment of the random matrix with non-central Wishart distribution.

Keywords

References

  1. Ph. D. Thesis, Korea Advanced Institute of Science and Technology, Department of Mathematics Higher Moments of Matrix Quadratic Form Kang, C.
  2. Statistics and Probability Letters v.28 The N-th Moment of Matrix Quadratic Form Kang, C;Kim, B. C.
  3. Journal of the Korean Statistical Society v.28 no.3 The General Moment of Non-central Wishart Distribution Kang, C.;Kim, B. C.
  4. The Annals of Statistics v.7 no.2 The Commutation Matrix: Some Properties and Applications Magnus, J. R.;Neudecker, H.
  5. Multivariate Analysis Mardia, K. V.;Kent, J. T.;Bibby, J. M.
  6. The Canadian Journal of Statistics v.11 no.3 Some Results on Commutation Matrices with Statistical Applications Neudecker, H.;Wansbeek, T.
  7. Linear Algerba and its Applications v.97 Fourth-Order Properties of Normally Distributed Random Matrices Neudecker, H.;Wansbeek, T.
  8. Statistics v.19 Moments for Matrix Normal Variables Von Rosen, D.
  9. Statistics and Probability Letters v.16 Third Moment of Matrix Quadratic Form Tracy, D. S.;Sultan, S. A.