In this paper we study the distribution of the product of an inverse Wishart random matrix and a Gaussian random vector. We derive its asymptotic distribution as well as its approximate density function formula which is based on the Gaussian integral and the third order Taylor expansion. Furthermore, we compare obtained asymptotic and approximate density functions with the exact density which is obtained by Bodnar and Okhrin (2011). A good performance of obtained results is documented in the numerical study.
展开▼
