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On the Product of a Singular Wishart Matrix and a Singular Gaussian Vector in High Dimension
Stockholm University, Faculty of Science, Department of Mathematics.ORCID iD: 0000-0001-7855-8221
Stockholm University, Faculty of Science, Department of Mathematics.
2018 (English)In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 99Article in journal (Refereed) In press
Abstract [en]

In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation of this product is derived, using which its characteristic function and asymptotic distribution under the double asymptotic regime are established. We further document a good finite sample performance of the obtained high-dimensional asymptotic distribution via an extensive Monte Carlo study.

Place, publisher, year, edition, pages
2018. Vol. 99
Keywords [en]
Singular Wishart distribution, singular normal distribution, stochastic representation, high-dimensional asymptotics
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:su:diva-164884OAI: oai:DiVA.org:su-164884DiVA, id: diva2:1280632
Available from: 2019-01-20 Created: 2019-01-20 Last updated: 2019-08-15

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CiteExportLink to record
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  • apa
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