Wishart–Laplace distributions associated with matrix quadratic forms☆
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AMS 2000 subject classifications
primary
62H05
secondary
62H10
Keywords
Matrix quadratic form
Laplacian distribution
Wishart distribution
Jordan algebras
Multivariate normal matrix
Cochran theorem
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Research supported by NSERC Grant of Canada, PIN7914.
Copyright © 2009 Elsevier Inc. All rights reserved.