Applications of a Certain Representation of the Wishart Matrix
Wijsman, Robert A.
Ann. Math. Statist., Tome 30 (1959) no. 4, p. 597-601 / Harvested from Project Euclid
Apart from pre- and post-multiplication by a fixed matrix and its transpose, the Wishart matrix $\mathbf{A}$ can be written as the product of a triangular matrix and its transpose, whose elements are independent normal and chi variables. Various applications of this representation are indicated. Examples are given concerning the diagonal elements of $\mathbf{A}^{-1}$, the sample ordinary and multiple correlation coefficient, the characteristic roots of $\mathbf{A}$ and the sphericity criterion in the bivariate case.
Publié le : 1959-06-14
Classification: 
@article{1177706276,
     author = {Wijsman, Robert A.},
     title = {Applications of a Certain Representation of the Wishart Matrix},
     journal = {Ann. Math. Statist.},
     volume = {30},
     number = {4},
     year = {1959},
     pages = { 597-601},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177706276}
}
Wijsman, Robert A. Applications of a Certain Representation of the Wishart Matrix. Ann. Math. Statist., Tome 30 (1959) no. 4, pp.  597-601. http://gdmltest.u-ga.fr/item/1177706276/