Hypergeometric functions of many matrix variables and distributions of generalized quadratic forms

Hypergeometric functions of many matrix variables and distributions of generalized quadratic forms

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Article ID: iaor1997681
Country: United States
Volume: 15
Issue: 3/4
Start Page Number: 343
End Page Number: 354
Publication Date: Jul 1995
Journal: American Journal of Mathematical and Management Sciences
Authors: ,
Abstract:

A representation of the exact density of a linear function of independent matrix-variate gamma variables, in terms of hypergeometric function of many matrix variables, is considered. The result is obtained in terms of a ø2 function of many matrix variables. Connection of the linear function to generalized quadratic forms is pointed out. The exact moments and the exact density of the determinant of such a linear combination are also derived.

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