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Keywords:
band inverse covariance matrix; discriminant analysis; characteristic function; multivariate normal distribution; Wishart distribution; unbiased density estimation; classification rules
band inverse covariance matrix; discriminant analysis; characteristic function; multivariate normal distribution; Wishart distribution; unbiased density estimation; classification rules
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.
References:
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