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A derivation of anti-Wishart distribution
- Authors
- Yu, Soonyu; Ryu, Jaena; Park, Kyoohong
- Issue Date
- Oct-2014
- Publisher
- ELSEVIER INC
- Keywords
- Wishart distribution; Anti-Wishart distribution; Complex Wishart distribution; Dirac delta function; Bartlett decomposition
- Citation
- JOURNAL OF MULTIVARIATE ANALYSIS, v.131, pp 121 - 125
- Pages
- 5
- Journal Title
- JOURNAL OF MULTIVARIATE ANALYSIS
- Volume
- 131
- Start Page
- 121
- End Page
- 125
- ISSN
- 0047-259X
1095-7243
- Abstract
- In this study, we introduce a derivation of real and complex anti-Wishart distribution, which can be summarized as integration of Dirac delta function in sample space with 'Bartlett coordinate setting'. As a result, we can show that it extremely simplifies the derivation of anti-Wishart distribution in comparison with conventional ones. (C) 2014 Elsevier Inc. All rights reserved.
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