Multivariate Analysis-Wishart's Distribution (ISS Statistics Paper II (Old Subjective Pattern)): Questions 1 - 1 of 1

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Question number: 1

» Multivariate Analysis » Wishart's Distribution » Reproductive Properties

Appeared in Year: 2015

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(i) Let A i be distributed as Wishart Wmi(Ai Σ) , i = 1, 2 and A 1, A 2 be independent. Show that A 1 +A 2 is distributed as Wm1+m2(A1+A2 Σ) .

(ii) If A is distributed as Wm(A Σ) , then CAC’ is distributed as Wm(CAC CΣC) where C is a nonsingular matrix of order m.


(i) We have A1~Wm1(A1Σ) that is

A1=i=1m1YiYi where Yi~N(0,Σ) and Y i ’s are independent.

Similarly, A2~… (350 more words) …

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