Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244529 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Working Paper No. 7/2017
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, in using which the characteristic function of the product and its asymptotic distribution under the double asymptotic regime are established. The application of obtained stochastic representation speeds up the simulation studies where the product of a singular Wishart random matrix and a singular normal random vector is present. We further document a good performance of the derived asymptotic distribution within a numerical illustration. Finally, several important properties of the singular Wishart distribution are provided.
Schlagwörter: 
singular Wishart distribution
singular normal distribution
stochastic representation
high-dimensional asymptotics
JEL: 
C00
C13
C15
Dokumentart: 
Working Paper

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