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On the exact and approximate distributions of the product of a Wishart matrix with a normal vector

  • Published:2013-11 Issue: Volume:122 Page:70-81
  • ISSN:0047-259X
  • Container-title:Journal of Multivariate Analysis
  • language:en
  • Short-container-title:Journal of Multivariate Analysis

Author:

Bodnar Taras,Mazur Stepan,Okhrin Yarema

Funder

German Science Foundation (DFG)

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference18 articles.

1. Properties of the partitioned singular, inverse and generalized wishart distributions;Bodnar;Journal of Multivariate Analysis,2008

2. On the product of inverse wishart and normal distributions with applications to discriminant analysis and portfolio theory;Bodnar;Scandinavian Journal of Statistics,2011

3. Introduction to Statistical Field Theory;Brézin,2010

4. The sampling error in estimates of mean–variance efficient portfolio weights;Britten-Jones;Journal of Finance,1999

5. Matrix variate generalization of the multivariate t-distribution;Dickey;Annals of Mathematical Statistics,1967

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1. Tangency portfolio weights under a skew-normal model in small and large dimensions;Journal of the Operational Research Society;2023-09-06

2. Portfolio Selection with a Rank-Deficient Covariance Matrix;Computational Economics;2023-06-23

3. Distribution of the product of a Wishart matrix and a normal vector;Theory of Probability and Mathematical Statistics;2023-05-02

4. On the mean and variance of the estimated tangency portfolio weights for small samples;Modern Stochastics: Theory and Applications;2022

5. Portfolio Correlations in the Bank-Firm Credit Market of Japan;Computational Economics;2021-07-31
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