Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/244529 
Year of Publication: 
2017
Series/Report no.: 
Working Paper No. 7/2017
Publisher: 
Örebro University School of Business, Örebro
Abstract: 
In this paper we consider the product of a singular Wishart random matrix and a singular normal random vector. A very useful stochastic representation is derived for this product, in using which the characteristic function of the product and its asymptotic distribution under the double asymptotic regime are established. The application of obtained stochastic representation speeds up the simulation studies where the product of a singular Wishart random matrix and a singular normal random vector is present. We further document a good performance of the derived asymptotic distribution within a numerical illustration. Finally, several important properties of the singular Wishart distribution are provided.
Subjects: 
singular Wishart distribution
singular normal distribution
stochastic representation
high-dimensional asymptotics
JEL: 
C00
C13
C15
Document Type: 
Working Paper

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