Wishart Distribution - Theorem

Theorem

If has a Wishart distribution with m degrees of freedom and variance matrix —write —and is a q × p matrix of rank q, then

{\mathbf C}\mathbf{X}{\mathbf C}^T \sim \mathcal{W}_q\left({\mathbf C}{\mathbf V}{\mathbf C}^T,m\right).

Read more about this topic:  Wishart Distribution

Famous quotes containing the word theorem:

    “To insure the adoration of a theorem for any length of time, faith is not enough, a police force is needed as well.”
    —Albert Camus (1913–1960)