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arXiv · 1512.08159

Chi-Square Mixture Representations for the Distribution of the Scalar Schur Complement in a Noncentral Wishart Matrix

Constantin Siriteanu·Satoshi Kuriki·Donald Richards·Akimichi Takemura
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Abstract

We show that the distribution of the scalar Schur complement in a noncentral Wishart matrix is a mixture of central chi-square distributions with different degrees of freedom. For the case of a rank-1 noncentrality matrix, the weights of the mixture representation arise from a noncentral beta mixture of Poisson distributions.

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Constantin Siriteanu, Satoshi Kuriki, Donald Richards, Akimichi Takemura. 2015-12-27. Chi-Square Mixture Representations for the Distribution of the Scalar Schur Complement in a Noncentral Wishart Matrix. https://arxiv.org/abs/1512.08159

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