Distribution of sum of squares and products matrices for the generalized multilinear matrix-T model

Authors:
Shahjahan Khan
Affiliations:
University of Southern Queensland, Queensland, Australia
Venue:
Journal of Multivariate Analysis
Year:
2002

Citing 0
Cited 3

The matrix-t distribution and its applications in predictive inference

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Predictive inference for singular multivariate elliptically contoured distributions

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On the exact and approximate distributions of the product of a Wishart matrix with a normal vector

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Abstract

The generalized multilinear model with the matrix-T error distribution is introduced in this paper. The sum of squares and products (SSP) matrix, as a counterpart of the Wishart matrix for the multinormal model, and the regression matrix for the errors and the observed as well as future responses are defined. The distributions of the regression matrix as well as the SSP matrix, and the prediction distribution of the future regression matrix and the future SSP matrix are derived.