A derivation of anti-Wishart distribution

JOURNAL OF MULTIVARIATE ANALYSIS

卷:131

Article

Yu, Soonyu¹  Ryu, Jaena¹  Park, Kyoohong¹ 

[1] Chung Ang Univ, Dept Civil & Environm Engn, Seoul 156756, South Korea

关键词: Wishart distribution;    Anti-Wishart distribution;    Complex Wishart distribution;    Dirac delta function;    Bartlett decomposition;   

DOI  :  10.1016/j.jmva.2014.06.019

来源: Elsevier

【 摘 要 】

In this study, we introduce a derivation of real and complex anti-Wishart distribution, which can be summarized as integration of Dirac delta function in sample space with 'Bartlett coordinate setting'. As a result, we can show that it extremely simplifies the derivation of anti-Wishart distribution in comparison with conventional ones. (C) 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free