Communications for Statistical Applications and Methods

  • 제5권2호
  • /
  • Pages.531-538
  • /
  • 1998
  • /
  • 2287-7843(pISSN)
  • /
  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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)
  • 발행 : 1998.08.01
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초록

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.

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참고문헌

  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.