随机投影阵的二次型分布及其应用

THE DISTRIBUTIONS OF QUADRATIC FORMS OF RANDOM IDEMPOTENT MATRICES WITH THEIR APPLICATIONS

  • 摘要: 对于以椭球等高分布为变量的二次型分布已有文章研究,这些结果在一般的线性模型和分布理论中特别重要,而投影阵在二次型的分布性质中起着很重要的作用。但这些文章所讨论的二次型、其中矩阵都是通常的常数矩阵。本文的目的是推广这些结果至二次型矩阵为随机的情况,得到了一些有趣的结果,同时,给出所得结果的一些应用。

     

    Abstract: There have been a few papers on the distribution of quadratic forms of elliptically contoured variables 2, 6, 9. Their results are of particular importance in the theory of the general linear model and distribution, and idempotent metrices play a significant role in the distribution properties of quadratic forms. But in the results of these papers mentioned above the matrices of the quadratic forms have constant elements. The purpose of this paper is to extend some of these results to the case where the elements of the matrices are random variables. Some interesting results are obtained. A few applications of our results are also considered.

     

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