The uniform asymptotic normality of a matrix-t distribution


Kai Can Li, Jian Lin Zhang, Di Shou Mao




Using the Kullback-Leibler distance between two density functions about a matrix T distribution and a matrix normal distribution,we obtain a Berry-Esseen boundary for the T distribution. Further, we give the condition under which a matrix T is uniformly asymptotically matrix normal distribution, and point out the convergence rate