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On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
Stockholm University, Sweden.
Örebro University, Sweden.
Stockholm University, Sweden;University of Rwanda, Rwanda.
Leibniz University of Hannover, Germany.
2020 (English)In: Theory of Probability and Mathematical Statistics, ISSN 0094-9000, Vol. 99, p. 39-52Article in journal (Refereed) Published
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
American Mathematical Society (AMS), 2020. Vol. 99, p. 39-52
National Category
Probability Theory and Statistics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-124648DOI: 10.1090/tpms/1078ISI: 000493467200004Scopus ID: 2-s2.0-85075366218OAI: oai:DiVA.org:lnu-124648DiVA, id: diva2:1797773
Available from: 2023-09-15 Created: 2023-09-15 Last updated: 2023-10-17Bibliographically approved

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Muhinyuza, Stanislas

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