Definition: Random matrix

Index: The Book of Statistical Proofs ▷ General Theorems ▷ Probability theory ▷ Random variables ▷ Random matrix

Definition: A random matrix, also called “matrix-valued random variable”, is an $n \times p$ matrix $X \in \mathbb{R}^{n \times p}$ whose entries are random variables. Equivalently, a random matrix is an $n \times p$ matrix whose columns are $n$-dimensional random vectors.

 

Sources:

• Wikipedia (2020): "Random matrix"; in: Wikipedia, the free encyclopedia, retrieved on 2020-05-27; URL: https://en.wikipedia.org/wiki/Random_matrix.

Metadata: ID: D67 | shortcut: rmat | author: JoramSoch | date: 2020-05-27, 22:48.