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The point of this question is to ask for references on matrix-variate Gaussian distributions. But I will explain what I mean by a matrix-variate Gaussian with an example (the notion I have in mind is ...

Given a random gaussian matrix $\mathbf{X}$ with zero mean matrix and covariance matrix $\mathbf{\Sigma}$, and two deterministic matrices $\mathbf{A}$ and $\mathbf{B}$. If I know the value of $\|\...

Here is the next problem: we have $n\times n$ random matrix $\hat{A}$, each element of this matrix is independent real random variable with normal distribution ($\mu=0, \sigma^2=1/n$). Matrix is no-...