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Some properties of invariant polynomials with matrix arguments and their applications in econometrics

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Summary

Further properties are derived for a class of invariant polynomials with several matrix arguments which extend the zonal polynomials. Generalized Laguerre polynomials are defined, and used to obtain expansions of the sum of independent noncentral Wishart matrices and an associated generalized regression coefficient matrix. The latter includes thek-class estimator in econometrics.

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Authors and Affiliations

  1. Csiro, Kagawa University, Kagawa, USA

    Yasuko Chikuse & A. W. Davis

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  1. Yasuko Chikuse
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  2. A. W. Davis
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Chikuse, Y., Davis, A.W. Some properties of invariant polynomials with matrix arguments and their applications in econometrics. Ann Inst Stat Math 38, 109–122 (1986). https://doi.org/10.1007/BF02482504

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  • DOI: https://doi.org/10.1007/BF02482504

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