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Distribution of Quadratic Forms
Linköping University, Department of Mathematics, Mathematical Statistics . Linköping University, The Institute of Technology.ORCID iD: 0000-0001-9896-4438
2007 (English)Conference paper, Published paper (Other academic)
Abstract [en]

A well known fact is that when testing hypotheses for covariance matrices, distributions of quadratic forms arise. A generalization of the distribution of the multivariate quadratic form XAX', where X is a p times n normally distributed matrix and A is a n times n symmetric real matrix, is presented. It is shown that the distribution of the quadratic form is the same as the distribution of a weighted sum of noncentral Wishart distributed matrices.

Using this characterization of the distribution several properties of the quadratic form XAX' will be shown.

Place, publisher, year, edition, pages
2007.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-67584OAI: oai:DiVA.org:liu-67584DiVA: diva2:411421
Conference
MatTriad 2007 - Bedlewo, Poland
Available from: 2011-04-18 Created: 2011-04-18 Last updated: 2014-09-29

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Ohlson, Martin

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CiteExportLink to record
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