Singular random matrix decompositions: distributions.

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dc.contributor.author Díaz García, José A.
dc.contributor.author González Farías, Graciela
dc.date.accessioned 2006-11-09T10:45:26Z
dc.date.available 2006-11-09T10:45:26Z
dc.date.issued 2002-09
dc.identifier.uri http://hdl.handle.net/10016/185
dc.description.abstract Assuming that Y has a singular matrix variate elliptically contoured distribution with respect to the Hausdorff measure, the distributions of several matrices associated to QR, modified QR, SV and Polar decompositions of matrix Y are determined, for central and non-central, non-singular and singular cases, as well as their relationship to the Wishart and Pseudo-Wishart generalized singular and non-singular distributions. We present a particular example for the Karhunen-Lòeve decomposition. Some of these results are also applied to two particular subfamilies of elliptical distributions, the singular matrix variate normal distribution and the singular matrix variate symmetric Pearson type VII distribution.
dc.format.extent 539583 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 2002-11
dc.title Singular random matrix decompositions: distributions.
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws024211
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