Authors
Taras Bodnar, Yarema Okhrin
Publication date
2011/6
Journal
Scandinavian Journal of Statistics
Volume
38
Issue
2
Pages
311-331
Publisher
Blackwell Publishing Ltd
Description
In this article we analyse the product of the inverse Wishart matrix and a normal vector. We derive the explicit joint distribution of the components of the product. Furthermore, we suggest several exact tests of general linear hypothesis about the elements of the product. We illustrate the developed techniques on examples from discriminant analysis and from portfolio theory.
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