Please use this identifier to cite or link to this item: http://cimat.repositorioinstitucional.mx/jspui/handle/1008/696
Distribution of the Generalised Inverse of a Random Matrix and its Applications
JOSE ANTONIO DIAZ GARCIA
Acceso Abierto
Atribución-NoComercial
Matrices de Random
Giv en a random singular matrix X , in the presen t article we nd the Jacobian of the trans- formation Y = X + , where X + is the More-P enrose inverse of X , both in the general case and when X is a non-negativ e de nite matrix. Expressions for the densities of the More-P enrose inverse of the singular Wishart and Pseudo-Wishart matrices are obtained. Similarly , an ex- pression for the densit y of the matrix-v ariate singular T -distribution is prop osed. Finally , these results are applied to the Bayesian inference of the multiv ariate linear mo del
Centro de Investigación en Matemáticas AC
10-03-2003
Reporte
Inglés
Investigadores
PROCESOS ESTOCÁSTICOS
Versión publicada
publishedVersion - Versión publicada
Appears in Collections:Reportes Técnicos - Probabilidad y Estadística

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