Properties and Approximations of some Matrix Variate Probability Density Functions
Karl Granström, Umut Orguner · KTH Publication Database DiVA (KTH Royal Institute of Technology) · 2011
This report contains properties and approximations of some matrix valued probability density functions. Expected values of functions of generalised Beta type II distributed random variables are derived. In two Theorems, approximations of matrix variate distributions are derived. A third theorem contain a marginalisation result.