石爱菊, 林金官. 椭球等高矩阵分布关于非奇异矩阵变换的不变性[J]. 应用概率统计, 2010, 26(5): 449-458.
引用本文: 石爱菊, 林金官. 椭球等高矩阵分布关于非奇异矩阵变换的不变性[J]. 应用概率统计, 2010, 26(5): 449-458.
Shi Aiju, Lin Jinguan. An Invariant Property of the Elliptically Contoured Distribution about the Non-Singular Matrix Transformation[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(5): 449-458.
Citation: Shi Aiju, Lin Jinguan. An Invariant Property of the Elliptically Contoured Distribution about the Non-Singular Matrix Transformation[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(5): 449-458.

椭球等高矩阵分布关于非奇异矩阵变换的不变性

An Invariant Property of the Elliptically Contoured Distribution about the Non-Singular Matrix Transformation

  • 摘要: 本文首先将矩阵F分布和矩阵t分布的定义推广到左球分布类, 其密度函数与产生它们的左球分布或球对称分布的密度均无关. 然后讨论了椭球等高分布关于非奇异矩阵变换的不变性问题, 包括矩阵Beta分布、逆矩阵Beta分布、矩阵Dirichlet分布、逆矩阵Dirichlet分布、矩阵F分布和矩阵t等分布. 在非奇异变换下, 这些分布的密度不但与产生它们的左球分布的密度函数无关, 而且与非奇异变换矩阵无关.

     

    Abstract: In this paper, we first extend the definitions of matrix F and t distributions to the left spherical distribution family, prove the density functions have no relation with the one producing them and then show that discuss the elliptically contoured distributions are invariant under nonsingular matrix transformations. These distributions include the matrix Beta, inverse Beta, Dirichlet, inverse Dirichlet, F and t etc. And finally it is shown that their distribution density functions not only have no relation with the density function generating them but also the transformation matrix.

     

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