A CHARACTERIZATION OF MATRIX VARIATE NORMAL DISTRIBUTION

KHOAN T. DINH ； TRUC T. NGUYEN

《International Journal of Mathematics and Mathematical Sciences》 1994卷 (1994/12) Pp. 341-346

https://doi.org/10.1155/S0161171294000475

摘要

The joint normality of two random vectors is obtained based on normal conditional with linear regression and constant covariance matrix of each vector given the value of the other without assuming the existence of the joint density. This result is applied to a characterization of matrix variate normal distribution.

關鍵字

characteristic function ； eigenvalue ； joint distribution ； conditional distribution ； covariance matrix ； norm of a matrix ； linear transformation ； spectral radius