A Disguised Wishart Variable and a Related Theorem.
WISCONSIN UNIV MADISON DEPT OF STATISTICS
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In considering the construction of a tolerance region of beta-expectation from the Bayesian point of view, the authors were confronted with finding the distribution of the kxk matrix of random variables R PVP, where PP Sigma sup -1, and where the kxk matrix Sigma sup -1 has the Wishart distribution, matrix n-1V sup-1, and degrees of freedom n-1, with V a symmetric kxk positive definite matrix of constants. In the paper, the authors find this distribution for the case where P is a lower triangular matrix with positive diagonal elements. Author
- Statistics and Probability