I am working on the proof part in Definition section of https://en.wikipedia.org/wiki/Matrix_normal_distribution.
I can understand what s going on, except for the last part how inv(V(kron)U) becomes inv(U) for multivariate distribution. is there any source you can help me with how to get multivariate pdf from matrix variate?
I can understand what s going on, except for the last part how inv(V(kron)U) becomes inv(U) for multivariate distribution. is there any source you can help me with how to get multivariate pdf from matrix variate?