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An identity for the noncentral wishart distribution with application

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  • Leung, Pui Lam

Abstract

This paper generalizes an identity for the Wishart distribution (derived independently by C. Stein and L. Haff) to the noncentral Wishart distribution. As an application of this noncentral Wishart identity, we consider the problem of estimating the noncentrality matrix of a noncentral Wishart distribution. This noncentral Wishart identity is used to develop a class of orthogonally invariant estimators which dominate the usual unbiased estimator.

Suggested Citation

  • Leung, Pui Lam, 1994. "An identity for the noncentral wishart distribution with application," Journal of Multivariate Analysis, Elsevier, vol. 48(1), pages 107-114, January.
    • Handle: RePEc:eee:jmvana:v:48:y:1994:i:1:p:107-114
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    Cited by:

    1. Letac, Gérard & Massam, Hélène, 2008. "The noncentral Wishart as an exponential family, and its moments," Journal of Multivariate Analysis, Elsevier, vol. 99(7), pages 1393-1417, August.
    2. Passemier, Damien & McKay, Matthew R. & Chen, Yang, 2015. "Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 124-146.
    3. Gupta, A. K. & Sheena, Y. & Fujikoshi, Y., 2005. "Estimation of the eigenvalues of noncentrality parameter matrix in noncentral Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 1-20, March.

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