[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <alan.h.feiveson@nasa.gov> |

To |
"'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: RE: Wishart distribution |

Date |
Thu, 15 Apr 2004 10:55:34 -0500 |

Naji - If you have only one such matrix, the answer is that as long as the matrix is symmetric and positive definite or semi-definite, there is no test. This is because any symmettirc positive matrix could arise as a sample of one from some legitimate Wishart distribution. To see this, suppose you had only one dimension. Then your matrix would be some number, say 64.5.Your question would be equivalent to asking whether 64.5 could have been generated by sig^2 times a chi-squared random variable divided by its degress of freedom. The answer, of course is "yes", since there is always a value of sig^2 that will work. The only way you could formulate such a test would be if you have a (large) sample of matrices. 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 9:34 AM To: statalist@hsphsun2.harvard.edu Subject: st: RE: RE: Wishart distribution 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: RE: RE: RE: Wishart distribution***From:*"Naji Nassar \(MIReS\)" <naji.nassar@mires.fr>

- Prev by Date:
**st: Hofstee method anyone?** - Next by Date:
**st: RE: multivariate normal distribution tests (was Wishart distribution)** - Previous by thread:
**st: Hofstee method anyone?** - Next by thread:
**st: RE: RE: RE: RE: Wishart distribution** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |