Index: The Book of Statistical ProofsGeneral 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.

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