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On the Distribution of General Quadratic Functions in Normal Vectors

โœ Scribed by M.C.M. de Gunst

Book ID
115224933
Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
290 KB
Volume
41
Category
Article
ISSN
0039-0402

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Let the column vectors of X: M\_N, M<N, be distributed as independent complex normal vectors with the same covariance matrix 7. Then the usual quadratic form in the complex normal vectors is denoted by Z=XLX H where L: N\_N is a positive definite hermitian matrix. This paper deals with a representat

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Consider the quadratic form Z=Y H (XL X H ) &1 Y where Y is a p\_m complex Gaussian matrix, X is an independent p\_n complex Gaussian matrix, L is a Hermitian positive definite matrix, and m p n. The distribution of Z has been studied for over 30 years due to its importance in certain multivariate s