On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory |
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Authors: | TARAS BODNAR YAREMA OKHRIN |
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Affiliation: | 1. Department of Statistics, European University Viadrina;2. Department of Statistics, University of Augsburg |
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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. |
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Keywords: | inverse Wishart distribution multivariate distribution special functions |
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