Abstract
In this paper, several properties of the noncentral skew Wishart distribution are studied and two results of decomposition properties are established. In general, a random matrix, which follows noncentral skew Wishart distribution with the degrees of freedom \(k>1\), can be decomposed into the sum of two independent random matrices, one having the noncentral skew Wishart distribution and another having the noncentral Wishart distribution. For illustration of these results, the multivariate one-way classification model with skew-normal error is considered as an application.
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Ma, Z., Wang, T., Li, B., Zhu, X., Ma, Y. (2021). The Decomposition of Quadratic Forms Under Matrix Variate Skew-Normal Distribution. In: Sriboonchitta, S., Kreinovich, V., Yamaka, W. (eds) Behavioral Predictive Modeling in Economics. Studies in Computational Intelligence, vol 897. Springer, Cham. https://doi.org/10.1007/978-3-030-49728-6_12
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DOI: https://doi.org/10.1007/978-3-030-49728-6_12
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