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Q108Section III (Statistics)108 of 145

u′Σ−1u/u′A−1u∼χn−p2u'\Sigma^{-1}u/u'A^{-1}u\sim\chi^2_{n-p} for Wishart AA with n−1n-1 d.f.

If A∼Wp(n−1,Σ)A\sim W_p(n-1,\Sigma) with n>pn>p, ∣Σ∣>0|\Sigma|>0 and U is distributed independently of A (and non-zero), then u′Σ−1uu′A−1u\dfrac{u'\Sigma^{-1}u}{u'A^{-1}u} follows:

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