International Journal of Mathematics and Mathematical Sciences
Volume 17 (1994), Issue 2, Pages 341-346
doi:10.1155/S0161171294000475
A characterization of matrix variate normal distribution
Khoan T. Dinh1
and Truc T. Nguyen2
1US Environmental Protection Agency/TS 798, Washington, DC 20460, USA
2Department of Mathematics and Statistics, Bowling Green State University, Bowling Green 43403-0221, OH, USA
Abstract
The joint normality of two random vectors is obtained based on normal conditional with linear regression and constant covariance matrix of each vector given the value of the other without assuming the existence of the joint density. This result is applied to a characterization of matrix variate normal distribution.