Timeline for Distribution of $\mathbf{A}\mathbf{X}$?
Current License: CC BY-SA 3.0
11 events
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| Feb 3, 2021 at 2:23 | history | edited | kjetil b halvorsen♦ |
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| Feb 3, 2018 at 23:11 | history | tweeted | twitter.com/StackStats/status/959927299977240576 | ||
| Feb 3, 2018 at 20:22 | comment | added | Orlando | Please take a look at my new edit, if you are interested. Hopefully I did not commit any mistake. | |
| Feb 3, 2018 at 20:21 | history | edited | Orlando | CC BY-SA 3.0 |
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| Feb 3, 2018 at 19:52 | comment | added | Orlando | That's a shame, but thank you anyway! | |
| Feb 3, 2018 at 19:50 | comment | added | whuber♦ | Not closed form, no. Possibly under very special assumptions about the distributions of $A$ and $X$ that could be done, but not generally: the correlations make it extremely messy. | |
| Feb 3, 2018 at 19:48 | comment | added | Orlando | Yes, that's a great point about it not being non-negative. But still, do you believe there is any hope to obtain some form of closed-form expression for the covariance matrix? (in terms of what we \emph{know}: the expectations and covariances between the different components of $\mathbf{A}$ and $\mathbf{X}$). Thanks! | |
| Feb 3, 2018 at 19:46 | comment | added | whuber♦ | In some extremely general sense the marginals are linear combinations of interdependent $\chi^2(2)$ distributions, but there's no hope they even remotely resemble a $\chi^2$: they are just as likely to have negative values as positive ones. For a glimmer of what this might look like, and a reference, see stats.stackexchange.com/questions/48378. | |
| Feb 3, 2018 at 19:44 | history | edited | Orlando | CC BY-SA 3.0 |
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| Feb 3, 2018 at 19:39 | review | First posts | |||
| Feb 3, 2018 at 20:22 | |||||
| Feb 3, 2018 at 19:37 | history | asked | Orlando | CC BY-SA 3.0 |