Matrix Variate Distributions

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CRC Press, Oct 22, 1999 - Mathematics - 384 pages
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Useful in physics, economics, psychology, and other fields, random matrices play an important role in the study of multivariate statistical methods. Until now, however, most of the material on random matrices could only be found scattered in various statistical journals. Matrix Variate Distributions gathers and systematically presents most of the recent developments in continuous matrix variate distribution theory and includes new results.
After a review of the essential background material, the authors investigate the range of matrix variate distributions, including:
  • matrix variate normal distribution
  • Wishart distribution
  • Matrix variate t-distribution
  • Matrix variate beta distribution
  • F-distribution
  • Matrix variate Dirichlet distribution
  • Matrix quadratic forms
    With its inclusion of new results, Matrix Variate Distributions promises to stimulate further research and help advance the field of multivariate statistical analysis.
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    This work is the most complete reference in existence for matrix-variate distributions.

    Contents

    PRELIMINARIES
    1
    MATRIX VARIATE NORMAL DISTRIBUTION
    55
    WISHART DISTRIBUTION
    87
    MATRIX VARIATE tDISTRIBUTION
    133
    MATRIX VARIATE BETA DISTRIBUTIONS
    165
    MATRIX VARIATE DIRICHLET DISTRIBUTIONS
    199
    DISTRIBUTION OF QUADRATIC FORMS
    225
    MISCELLANEOUS DISTRIBUTIONS
    279
    GENERAL FAMILIES OF MATRIX VARIATE
    311
    GLOSSARY OF NOTATIONS AND ABBREVIATIONS
    331
    REFERENCES
    343
    SUBJECT INDEX
    364
    Copyright

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    Page 353 - Reprinted in Statistical Inference in Elliptically Contoured and Related Distributions (KT Fang and TW Anderson, eds.), Allerton Press, New York.

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