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Wishart-Laplace distributions associated with matrix quadratic forms

By Joe Masaro and Chi Song Wong

Abstract

For a normal random matrix Y with mean zero, necessary and sufficient conditions are obtained for Y'WkY to be Wishart-Laplace distributed and {Y'WkY} to be independent, where each Wk is assumed to be symmetric rather than nonnegative definite.Matrix quadratic form Laplacian distribution Wishart distribution Jordan algebras Multivariate normal matrix Cochran theorem

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