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Results tagged with random-matrix
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user 8336
A random matrix is a matrix whose entries consist of random variables from some specified distribution. Random matrices have many modern applications in physics, finance, statistics and numerical analysis.
5
votes
1
answer
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Law of Total Expectation and Law of Total Variance for Matrices
Does anyone have a reference or proof for the LTE and LTV for matrices? I am defining the unconditional variance for matrices in the usual way:
$$
\operatorname{Var}_{m}(M) \overset{\text{def}}{=} \op …
- 21.6k
1
vote
0
answers
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Showing a useful result for Wisharts and Multivariate Beta random matrices
Let $\mathbf{A} \sim \text{Wishart}_m\left(k_a,\mathbf{V} \right)$ and $\mathbf{B} \sim \text{Wishart}_m\left(k_b,\mathbf{V} \right)$ be two full rank Wishart random matrices. Define
$$
\mathbf{S} = …
- 21.6k