Chi-square mixture representations for the distribution of the scalar Schur complement in a noncentral Wishart matrix

Constantin Siriteanu, Satoshi Kuriki, Donald Richards, Akimichi Takemura

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

We show that the distribution of the scalar Schur complement in a noncentral Wishart matrix is a mixture of central chi-square distributions with different degrees of freedom. For the case of a rank-1 noncentrality matrix, we reveal that the mixture weights arise from a noncentral beta mixture of Poisson distributions.

Original languageEnglish (US)
Pages (from-to)79-87
Number of pages9
JournalStatistics and Probability Letters
Volume115
DOIs
StatePublished - Aug 1 2016

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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