On Wishart distribution
Statistics Theory
2010-10-12 v1 Statistics Theory
Abstract
This paper proposes a unified approach that enables the Wishart distribution to be studied simultaneously in the real, complex, quaternion and octonion cases. In particular, the noncentral generalised Wishart distribution, the joint density of the eigenvalues and the distribution of the maximum eigenvalue are obtained for real normed division algebras.
Cite
@article{arxiv.1010.1799,
title = {On Wishart distribution},
author = {Jose A. Diaz-Garcia and Ramon Gutierrez-Jaimez},
journal= {arXiv preprint arXiv:1010.1799},
year = {2010}
}
Comments
11 pages