Publications
G. Fraisse and S. Viguier-Pla (2016)
A weak characterization of real Wishart matrices by quadratic
forms.
Comptes-rendus mathématiques.
To appear
- Classification
- 62H05, 15B52
- Keywords
- Continuous random functions,
Wishart distribution, Haar measure,
Cholesky factorization, quadratic form
Abstract :
Let M be a random symmetric real p-matrix of Wishart distribution
with k degrees of freedom and scale parameter Sigma. The
distribution of M can usually be characterized by the distribution of
a p-dimensional quadratic form.
We propose to weaken this characterization, showing that,
when k is smaller than p, it is sufficient to know the
distribution of (k+1)-dimensional quadratic form.