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A generalization of Wishart density for the case when the inverse of the covariance matrix is a band matrix. (English) Zbl 0809.62044

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
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