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An extension of Lévy's result concerning indecomposability of the Wishart distribution

Published online by Cambridge University Press:  24 October 2008

D. N. Shanbhag
D. N. Shanbhag
Affiliation:
Sheffield University
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Extract

Consider A and B to be two independent and non-degenerate random variables. It is conjectured by D. G. Kendall (private communication) that the distribution of the vector (A2, 2AB, B2) is indecomposable. The purpose of the present paper is to show that this is true.

Type
Research Article
Information
Mathematical Proceedings of the Cambridge Philosophical Society , Volume 75 , Issue 1 , January 1974 , pp. 109 - 113
Copyright
Copyright © Cambridge Philosophical Society 1974

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References

REFERENCES

(1)Davidson, Rollo. Simplification of some remarks of Lévy concerning the Wishart distribution (1973).Google Scholar
(2)Kendall, D. G. (1973). Appendix to (1).Google Scholar
(3)Lévy, P.The arithmetical character of the Wishart distribution. Proc. Cambridge Philos. Soc. 44 (1948), 295–297.CrossRefGoogle Scholar
(4)Rao, C. R.Linear Statistical Inference and its Applications (J. Wiley & Sons, Inc. 1965).Google Scholar