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Displaying similar documents to “Comparison of MINQUE and LMVQUIE by simulation”

A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix

Kryštof Eben (1994)

Mathematica Bohemica

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In a multivariate normal distribution, let the inverse of the covariance matrix be a band matrix. The distribution of the sufficient statistic for the covariance matrix is derived for this case. It is a generalization of the Wishart distribution. The distribution may be used for unbiased density estimation and construction of classification rules.