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Characterization of matrix variate normal distributions

Author

Listed:
  • Gupta, A. K.
  • Varga, T.

Abstract

In this paper, it is shown that two random matrices have a joint matrix variate normal distribution if, conditioning each one on the other, the resulting distributions satisfy certain conditions. A general result involving more than two matrices is also proved.

Suggested Citation

  • Gupta, A. K. & Varga, T., 1992. "Characterization of matrix variate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 41(1), pages 80-88, April.
    • Handle: RePEc:eee:jmvana:v:41:y:1992:i:1:p:80-88
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    Cited by:

    1. A. Gupta & T. Nguyen & Y. Wang, 1997. "Characterizations of some continuous distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 6(1), pages 59-65, April.

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