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st: Wishart distribution


From   "Naji Nassar \(MIReS\)" <naji.nassar@mires.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Wishart distribution
Date   Thu, 15 Apr 2004 14:34:19 +0200

Hi all,

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
variable.
- 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
Naji


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