Title of article :
Singular random matrix decompositions: distributions
Author/Authors :
Dيaz-Garcيa، نويسنده , , José A. and Gonzلlez-Farيas، نويسنده , , Graciela، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2005
Abstract :
Assuming that Y has a singular matrix variate elliptically contoured distribution with respect to the Hausdorff measure, the distributions of several matrices associated to QR, modified QR, SV and polar decompositions of matrix Y are determined, for central and non-central, non-singular and singular cases, as well as their relationship to the Wishart and pseudo-Wishart generalized singular and non-singular distributions. Some of these results are also applied to two particular subfamilies of elliptical distributions, the singular matrix variate normal distribution and the singular matrix variate symmetric Pearson type VII distribution.
Keywords :
Modified QR and polar decompositions , Non-central singular distribution , Elliptical distribution , Generalized Wishart and pseudo-Wishart distributions , SVD , QR
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis