Theory of Probability and Mathematical Statistics
On the asymptotic and approximate distributions of the product of an inverse Wishart matrix and a Gaussian vector
I. Kotsiuba, S. Mazur
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Abstract: In this paper we study the distribution of the product of an inverse Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as a formula for its approximate density function which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare the asymptotic and approximate density functions with the exact density obtained by Bodnar and Okhrin (2011). The results obtained in the paper are confirmed by the numerical study.
Keywords: Wishart distribution, multivariate normal distribution, asymptotic distribution, integral approximation
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