Chi-Square Mixture Representations for the Distribution of the Scalar Schur Complement in a Noncentral Wishart Matrix
Statistics Theory
2016-05-24 v1 Statistics Theory
Abstract
We show that the distribution of the scalar Schur complement in a noncentral Wishart matrix is a mixture of central chi-square distributions with different degrees of freedom. For the case of a rank-1 noncentrality matrix, the weights of the mixture representation arise from a noncentral beta mixture of Poisson distributions.
Keywords
Cite
@article{arxiv.1512.08159,
title = {Chi-Square Mixture Representations for the Distribution of the Scalar Schur Complement in a Noncentral Wishart Matrix},
author = {Constantin Siriteanu and Satoshi Kuriki and Donald Richards and Akimichi Takemura},
journal= {arXiv preprint arXiv:1512.08159},
year = {2016}
}