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On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory
Authors:TARAS BODNAR  YAREMA OKHRIN
Affiliation:1. Department of Statistics, European University Viadrina;2. Department of Statistics, University of Augsburg
Abstract:Abstract. In this article we analyse the product of the inverse Wishart matrix and a normal vector. We derive the explicit joint distribution of the components of the product. Furthermore, we suggest several exact tests of general linear hypothesis about the elements of the product. We illustrate the developed techniques on examples from discriminant analysis and from portfolio theory.
Keywords:inverse Wishart distribution  multivariate distribution  special functions
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