2003•South African Statistical JournalOpen access
Nonnegative-definite independence distribution-preserving covariance structures for the sample covariance matrix : theory and methods
Dean M. Young, Laura A. Thompson, Danny W. Turner
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Abstract
We explicitly characterize the general mean matrix and the general nonnegative-definite covariance structure of a matrix-normal random matrix such that the multivariate sample covariance matrix is distributed as a central Wishart random matrix. We also characterize the general mean matrix and the general nonnegative-definite covariance structure of a matrix-normal random matrix such that the sample covariance matrix is distributed as a central Wishart random matrix and is independent of the sample mean vector.