Research output per year
Research output per year
Igor Kotsiuba, S. Mazur
Research output: Contribution to journal › Article › peer-review
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 a formula for its approximate density function which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare the asymptotic and approximate density functions with the exact density obtained by Bodnar and Okhrin (2011). The results obtained in the paper are confirmed by the numerical study.
Original language | English |
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Pages (from-to) | 103-112 |
Number of pages | 10 |
Journal | Theory of Probability and Mathematical Statistics |
Volume | 93 |
DOIs | |
Publication status | Published - 2016 |
Research output: Working paper/Preprint › Working paper