Questions tagged [matrix-variate-distribution]
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3 questions
8
votes
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Distribution of the sum of Wishart distributed random matrices
Suppose
\begin{equation}
A_1 \sim \mathcal{W}(A_1; \Psi_1, v_1)\\
A_2 \sim \mathcal{W}(A_2; \Psi_2, v_2),
\end{equation}
where $\mathcal{W}$ is the Wishart distribution and $A_i$, and $\Psi_i$ are PSD ...
- 12.1k
1
vote
1
answer
43
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derive multivariate pdf from matrix variate pdf
I am working on the proof part in Definition section of https://en.wikipedia.org/wiki/Matrix_normal_distribution.
I can understand what s going on, except for the last part how inv(V(kron)U) becomes ...
- 6,039
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0
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Fisher Information Matrix of Matrix Variate F Distribution
Let $\mathbf{X}$ follow a matrix variate F distribution with pdf
$$
\begin{align}
f\left(\mathbf{X} | \mathbf{\Sigma}, n, \nu\right) = \frac{\Gamma_p(\frac{n + \nu }{2})}{\Gamma_p(\frac{n}{2})\...
- 842