CFDP 823

Spherical Matrix Distributions and Cauchy Quotients

Author(s): 

Publication Date: February 1987

Pages: 6

Abstract: 

It is shown that matrix quotients of submatrices of a spherical matrix are distributed as matrix Cauchy. This generalizes known results for scalar ratios of independent normal variates. The derivations are simple and make use of the theory of invariant measures on manifolds.

Keywords: 

Cauchy quotients, Invariant measures, Matrix variates, Spherical distributions

JEL Classification Codes:  211

See CFP: 729