Spherical Matrix Distributions and Cauchy Quotients

It is shown that matrix quotients of submatrices of a spherical matrix are distributed as matrix Cauchy. This generalizes known results for scalar ratios of independent normal variates. The derivations are simple and make use of the theory of invariant measures on manifolds.

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Year of publication:	1987-02
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Cauchy quotients \| invariant measures \| matrix variates \| spherical distributions

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 729. Published in Statistics and Probability Letters (1989), 8: 51-53 The price is None Number 823 5 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762727