Distribution of the correlation matrix for a class of elliptical models
Titel:
Distribution of the correlation matrix for a class of elliptical models
Auteur:
Joarder, Anwarul H. Ali, Mir M.
Verschenen in:
Communications in statistics
Paginering:
Jaargang 21 (1992) nr. 7 pagina's 1953-1964
Jaar:
1992
Inhoud:
Let the p-dimensional random vectors X1, X2, • • •, Xn (not necessarily independent) be distributed according to an elliptical model having p.d.f. of the form [image omitted] where K(n,p) is a normalizing constant and θ is a vector of location parameters while ∧ is a positive definite symmetric matrix of scale parameters. The exact distribution of the correlation matrix, defined by R = ((rik)) where [image omitted] is derived. The case where X1, X2, • • •, Xn is a random sample of size n from [image omitted] is of course a special case of the above model.
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