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st: RE: RE: Wishart distribution


From   "Naji Nassar \(MIReS\)" <naji.nassar@mires.fr>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Wishart distribution
Date   Thu, 15 Apr 2004 16:33:56 +0200

Hi Al,


- How can I test whether an observed covariance (from a sample size) follow
the theoretical distribution?
As input, I have the observed covariance matrix (pxp) and sample size (n)
(not the original data) and the theoretical covariance matrix (pxp).

Best
Naji

-----Message d'origine-----
De : owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]De la part de FEIVESON,
ALAN H. (AL) (JSC-SK) (NASA)
Envoyé : jeudi 15 avril 2004 15:08
À : 'statalist@hsphsun2.harvard.edu'
Objet : st: RE: Wishart distribution


Naji - I assume that all you have is S, not the original data - otherwise
you could test if the original data is distributed as multivariate Normal.
Is this the case?
Al Feiveson

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Naji Nassar
(MIReS)
Sent: Thursday, April 15, 2004 7:34 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Wishart distribution


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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