Two Sample Covariances from a Trivariate Normal Distribution
Steven Finch
TL;DR
This paper derives formulas for the joint distribution of two off-diagonal elements of Wishart matrices, which are useful in geometric probability and fill a gap in the existing literature.
Contribution
It provides new explicit formulas for the joint distribution of two Wishart matrix elements, not previously documented.
Findings
Derived formulas for joint distribution of Wishart matrix elements
Filled a gap in the literature on Wishart distributions
Useful for applications in geometric probability
Abstract
The joint distribution of two off-diagonal Wishart matrix elements was useful in recent work on geometric probability [Finch 2010]. Not finding such formulas in the literature, we report these here.
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Taxonomy
TopicsAdvanced Statistical Methods and Models · Statistical Methods and Bayesian Inference · Bayesian Methods and Mixture Models