Distribution of Quadratic Forms
2007 (English)Conference paper (Other academic)
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
IdentifiersURN: urn:nbn:se:liu:diva-67584OAI: oai:DiVA.org:liu-67584DiVA: diva2:411421
MatTriad 2007 - Bedlewo, Poland