Real gamma distribution on analytic bundles of flag varieties
Abstract
This paper introduces four matrix normal distributions on analytic bundles of flag varieties, extending the separable covariance with potentially variable-level () and/or sample-level () correlations. The joint distribution of sample variances and covariances, leading to the product moment distribution, is considered when precision matrices admit a specific form. Several well-known consequences, including the non-central Wishart distribution and normal quadratic forms, now appear as corollaries.
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