An identity for the noncentral wishart distribution with application

Authors:
Pui Lam Leung
Affiliations:
-
Venue:
Journal of Multivariate Analysis
Year:
1994

Citing 0
Cited 2

Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution

Journal of Multivariate Analysis
The noncentral Wishart as an exponential family, and its moments

Journal of Multivariate Analysis

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Abstract

This paper generalizes an identity for the Wishart distribution (derived independently by C. Stein and L. Haff) to the noncentral Wishart distribution. As an application of this noncentral Wishart identity, we consider the problem of estimating the noncentrality matrix of a noncentral Wishart distribution. This noncentral Wishart identity is used to develop a class of orthogonally invariant estimators which dominate the usual unbiased estimator.