Wishart distributions associated with matrix quadratic forms

Authors:
Joe Masaro;Chi Song Wong
Affiliations:
Department of Mathematics and Statistics, Acadia University, Wolfville, Nova Scotia, Canada B4P 2R6;University of Windsor, Windsor, Ont., Canada N9B 3P4
Venue:
Journal of Multivariate Analysis
Year:
2003

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Abstract

For a normally distributed random matrix Y with mean zero and general covariance matrix ΣY and for a symmetric matrix W, necessary and sufficient conditions are derived for the Wishartness of Y' WY.