The Joint Distribution of Traces of Wishart Matrices and Some Applications
Jensen, D. R.
Ann. Math. Statist., Tome 41 (1970) no. 6, p. 133-145 / Harvested from Project Euclid
Let $\mathbf{W}_{jj}$ and $\mathbf{\Sigma}_{jj}, 1 \leqq j \leqq q$, respectively denote the diagonal blocks of a partitioned Wishart matrix $\mathbf{W}$ and its matrix $\mathbf{\Sigma}$ of parameters. A Laguerrian expansion is given for the joint distribution of $v_j = \mathrm{tr} \mathbf{W}_{jj}\mathbf{\Sigma}^{-1}_{jj}, 1 \leqq j \leqq q$, which is a generalization of known multivariate chi-square distributions. Approximations to the joint distribution function are discussed, and probability inequalities are given for this and a related multivariate $F$-distribution. Applications are made to some simultaneous multivariate test procedures.
Publié le : 1970-02-14
Classification: 
@article{1177697194,
     author = {Jensen, D. R.},
     title = {The Joint Distribution of Traces of Wishart Matrices and Some Applications},
     journal = {Ann. Math. Statist.},
     volume = {41},
     number = {6},
     year = {1970},
     pages = { 133-145},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697194}
}
Jensen, D. R. The Joint Distribution of Traces of Wishart Matrices and Some Applications. Ann. Math. Statist., Tome 41 (1970) no. 6, pp.  133-145. http://gdmltest.u-ga.fr/item/1177697194/