Related papers: On Wishart distribution
In this paper we consider non-asymptotic behavior of the real compound Wishart matrices that generalize the classical real Wishart distribution. In particular, we consider matrices of the form 1/nXBX', where X consists of real centered…
We study the tail bound of the emperical covariance of multivariate normal distribution. Following the work of (Gittens & Tropp, 2011), we provide a tail bound with a small constant.
The paper considers the distribution of a general linear combination of central and non-central chi-square random variables by exploring the branch cut regions that appear in the standard Laplace inversion process. Due to the original…
This paper develops on-line inference for the multivariate local level model, with the focus being placed on covariance estimation of the innovations. We assess the application of the inverse Wishart prior distribution in this context and…
We show in this note that the asymptotic spectral distribution, location and distribution of the largest eigenvalue of a large class of random density matrices coincide with that of Wishart-type random matrices using proper scaling. As an…
The Riesz distribution for real normed division algebras is derived in this work. Then two versions of these distributions are proposed and some of their properties are studied.
We suggest a method of studying the joint probability density (JPD) of an eigenvalue and the associated 'non-orthogonality overlap factor' (also known as the 'eigenvalue condition number') of the left and right eigenvectors for…
We use the idea of a Wigner surmise to compute approximate distributions of the first eigenvalue in chiral Random Matrix Theory, for both real and complex eigenvalues. Testing against known results for zero and maximal non-Hermiticity in…
A theory of joint nonideal measurement of incompatible observables is used in order to assess the relative merits of quantum tomography and certain measurements of generalized observables, with respect to completeness of the obtained…
A new distribution is introduced, which we call the twin-t distribution. This distribution is heavy-tailed like the t distribution, but closer to normality in the central part of the curve. Its properties are described, e.g. the pdf, the…
The Wishart distribution is the standard conjugate prior for the precision of the multivariate Gaussian likelihood, when the mean is known -- while the normal-Wishart can be used when the mean is also unknown. It is however not so obvious…
The spectra of empirical correlation matrices, constructed from multivariate data, are widely used in many areas of sciences, engineering and social sciences as a tool to understand the information contained in typically large datasets. In…
The main goal of this paper is to extend [J. Algebra Appl. 20 (2021), 2150074] to generalized quaternion algebras, even when these algebras are not necessarily division rings. More precisely, in such cases, the image of a multilinear…
In this paper we derive some new and practical results on testing and interval estimation problems for the population eigenvalues of a Wishart matrix based on the asymptotic theory for block-wise infinite dispersion of the population…
Bobecka and Wesolowski (2002) have shown that, in the Olkin and Rubin characterization of the Wishart distribution (See Casalis and Letac (1996)), when we use the division algorithm defined by the quadratic representation and replace the…
We study the slice-matching scheme, an efficient iterative method for distribution matching based on sliced optimal transport. We investigate convergence to the target distribution and derive quantitative non-asymptotic rates. To this end,…
In this work we study the spectral density of products of Wishart diluted random matrices of the form $X(1)\cdots X(M)(X(1)\cdots X(M))^T$ using the Edwards-Jones trick to map this problem into a system of interacting particles with random…
Generalised uncorrelated Wishart matrices are formed out of rectangular standard Gaussian data matrices with a certain pattern of zero entries. Development of the theory in the real and complex cases has proceeded along separate line. For…
We study the correspondence assigning the vertices of a certain quotient of the local Bruhat-Tits tree for the general linear group over a global function field, to conjugacy classes of maximal orders in some quaternion algebras. The…
The basic goal of quantization for probability distribution is to reduce the number of values, which is typically uncountable, describing a probability distribution to some finite set and thus approximation of a continuous probability…