This article introduces the F-t distributions on the real Siegel domain associated to the cone of positive definite symmetric matrices. These distributions arise from a random variable defined in a group theoretical way using the quadratic map to the cone. Its density function is also provided based on analysis on the real Siegel domains. As an application, we present a numerical experiment for an invariant simultaneous test for two-sample problem.

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F-t Joint Distribution on a Real Siegel Domain and Simultaneous Hypothesis Test

  • Hiroto Inoue

摘要

This article introduces the F-t distributions on the real Siegel domain associated to the cone of positive definite symmetric matrices. These distributions arise from a random variable defined in a group theoretical way using the quadratic map to the cone. Its density function is also provided based on analysis on the real Siegel domains. As an application, we present a numerical experiment for an invariant simultaneous test for two-sample problem.