Edward Ngailo: On functions of a Wishart matrix and a normal vector with applications

Abstract: My talk is about the functions which depend on the product of inverse Wishart matrix and mean random vector. This product appears in various important applications in statistics. It appears in Discriminant analysis as well as in Portfolio theory. I will introduce you the theoretical finite sample and infinite sample results of the product in discriminant analysis. Moreover, we will discuss the theoretical results of the tangency portfolio weights which is proportional to the product. The results will be motivated by real data.