On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory
On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory
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DOI：
10.1111/j.1467-9469.2011.00729.x
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发表时间：
2011-06-01
影响因子：
1
通讯作者：
Okhrin, Yarema
中科院分区：
文献类型：
--
作者：
Bodnar, Taras;Okhrin, Yarema
本文分析了逆Wishart矩阵与法向量的乘积。我们得到了产品的组件的显式联合分布。此外，我们提出了几个精确的测试一般线性假设的产品的元素。我们说明了判别分析和投资组合理论的例子开发的技术。
In this article we analyse the product of the inverse Wishart matrix and a normal vector. We derive the explicit joint distribution of the components of the product. Furthermore, we suggest several exact tests of general linear hypothesis about the elements of the product. We illustrate the developed techniques on examples from discriminant analysis and from portfolio theory.