Matrix Variate Distributions

1st Edition

A K Gupta, D K Nagar

Chapman and Hall/CRC
Published October 22, 1999
Reference - 384 Pages
ISBN 9781584880462 - CAT# LM06108
Series: Monographs and Surveys in Pure and Applied Mathematics

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Summary

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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