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Abstract
In this paper we study the distribution of the product of an inverse
Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.
Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.
| Original language | English |
|---|---|
| Publisher | Department of Statistics, Lund university |
| Number of pages | 14 |
| Publication status | Published - 2015 |
Publication series
| Name | Working Papers in Statistics |
|---|---|
| No. | 11 |
Subject classification (UKÄ)
- Probability Theory and Statistics
Free keywords
- Wishart distribution
- multivariate normal distribution
- integral approximation
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On the asymptotic and approximate distributions of the product of an inverse wishart matrix and a gaussian vector
Kotsiuba, I. & Mazur, S., 2016, In: Theory of Probability and Mathematical Statistics. 93, p. 103-112 10 p.Research output: Contribution to journal › Article › peer-review