Eben, Kryštof A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix. (English) Zbl 0809.62044 Math. Bohem. 119, No. 4, 337-346 (1994). Summary: In a multivariate normal distribution, let the inverse of the covariance matrix be a band matrix. The distribution of the sufficient statistic for the covariance matrix is derived for this case. It is a generalization of the Wishart distribution. The distribution may be used for unbiased density estimation and construction of classification rules. MSC: 62H05 Characterization and structure theory for multivariate probability distributions; copulas 62H10 Multivariate distribution of statistics Keywords:band inverse covariance matrix; discriminant analysis; characteristic function; multivariate normal distribution; Wishart distribution; unbiased density estimation; classification rules PDFBibTeX XMLCite \textit{K. Eben}, Math. Bohem. 119, No. 4, 337--346 (1994; Zbl 0809.62044) Full Text: EuDML