NETMaths
Part BCSIR NET June 2023wishart-linear-form

Wishart linear form

Suppose ~ with . Define and Q = ZᵀZ. If denotes a Wishart distribution of order m with n degrees of freedom, the distribution of is

  1. A.
  2. B.
  3. C.
  4. D.

Solution

The rows of Z are , so Q ~ . The sum of all entries of Q is aᵀQa with a = (1, 1)ᵀ, which is .

The trap it tests

Execution slip

The idea was right. The computation was not.

Drill statements like this

Related counterexample: If every marginal is normal then the vector is multivariate normal

More on this topic

From Linear Models and MultivariateMultivariate normal distribution

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