TY - JOUR
AU - Tao, Jiyuan
AU - Kong, Lingchen
AU - Su, Zhihua
AU - Wang, Guoqiang
PY - 2024/06/17
Y2 - 2024/09/15
TI - On the Independence of Linear and Quadratic Forms in Matrix Normal Distribution and Wishart Distribution: Accepted - June 2024
JF - REVSTAT-Statistical Journal
JA - REVSTAT
VL -
IS -
SE - Forthcoming Paper
DO -
UR - https://revstat.ine.pt/index.php/REVSTAT/article/view/729
SP -
AB - <p>It is well-known that the Craig-Sakamoto theorem establishes the independence of two linear forms and two quadratic forms in normal variates. Replacing the random normal vectors by the random normal matrices and Wishart variates, in this paper, we investigate interconnections between the independence of linear forms, quadratic forms, trace forms in matrix normal distribution and Wishart distribution. We show that the Craig-Sakamoto theorem still establishes the independence of both two linear forms and two quadratic forms in matrix normal distribution, but it fails establishing the independence of two linear forms and two quadratic forms in Wishart variates.</p>
ER -