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st: Wishart distribution
Some question about covariance matrix and Wishart dist.
I've a theorical covariance matrix S.
Suppose X RandomNormal(N,p)*CholDecomposition(S) a random correlated
- What is the theoretical distribution of X covariance (Wishart(S,nobs)?)
- How can I test whether an observed covariance (from a sample size) follow
the theoretical distribution.
Thanks & Best Regards
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