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The distance between two random vectors wigh given dispersion matrices. (English) Zbl 0527.60015


MSC:

60E05 Probability distributions: general theory
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References:

[1] Anderson, T. W.; Olkin, I., An extremal problem for positive definite matrices, Linear and Multilinear Algebra, 6, 257-262 (1978) · Zbl 0416.15010
[2] Marshall, A. W.; Olkin, I., Inequalities: Theory of Majorization and its Applications (1979), Academic: Academic New York · Zbl 0437.26007
[3] Pukelsheim, F., A quick introduction to mathematical programming with applications to most powerful tests, nonnegative variance estimation, and optimal design theory, (Technical Report No. 128 (1978), Dept. of Statistics, Stanford Univ)
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