Linear Models

  • A. K. Gupta
  • T. Varga
Part of the Mathematics and Its Applications book series (MAIA, volume 240)


Let x1, x2,...,xn be p-dimensional vectors, such that xi ~ Ep(Bzi, Σ, ψ), where zi is a q-dimensional known vector, i = 1,...,n, and B is a p × q unknown matrix. Moreover, assume that xi, i = l,...,n are uncorrelated and their joint distribution is elliptically contoured and absolutely continuous. This model can be expressed as
$${\text{X}} \sim {\text{E}}_{{\text{p,n}}} {\text{(BZ,}}\sum { \otimes {\text{I}}_{{\text{n,}}} \psi {\text{),}}}$$
where X = (x1, x2,...,xn); Z = (z1, z2,...,zn) is a q × n known matrix; B (p × q) and Σ (p × p) are unknown matrices. Assume rk(Z) = q and p + q ≤ n. The joint p.d.f. of x1, x2,...,xn can be written as
$$f(X) = \frac{1} {{\left| {\sum {\left| n \right.} } \right.}}h\left( {\sum\limits_{i = 1}^n {(x_i - Bz_i )'\Sigma ^{ - 1} (x_i - Bz_i )} } \right) = \frac{1} {{\left| {\sum {\left| n \right.} } \right.}}h(tr(X - BZ)'\Sigma ^{ - 1} (X - BZ)).$$


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Copyright information

© Springer Science+Business Media Dordrecht 1993

Authors and Affiliations

  • A. K. Gupta
    • 1
  • T. Varga
    • 2
  1. 1.Department of Mathematics and StatisticsBowling Green State UniversityBowling GreenUSA
  2. 2.AB-AEGON General Insurance CompanyBudapestHungary

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