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st: RE: Wishart distribution

From   "FEIVESON, ALAN H. (AL) (JSC-SK) (NASA)" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: RE: Wishart distribution
Date   Thu, 15 Apr 2004 08:08:04 -0500

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: [email protected]
[mailto:[email protected]]On Behalf Of Naji Nassar
Sent: Thursday, April 15, 2004 7:34 AM
To: [email protected]
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
- 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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