Moments of a Wishart Matrix View Full Text


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Article Info

DATE

2021-11-09

AUTHORS

Grant Hillier, Raymond Kan

ABSTRACT

The paper discusses the moments of Wishart matrices, in both the central and noncentral cases. The first part of the paper shows that the expectation map has certain homogeneity and equivariance properties which impose considerable structure on the moments, hitherto unrecognised. The second part of the paper explains how the moments may be computed efficiently. The two parts of the paper are completely independent, but the computations produce precisely the algebraic structure predicted in the first part, as well as reproducing all previously known formulae. A number of examples are given for the more manageable cases. More... »

PAGES

141-162

References to SciGraph publications

  • 2010-04-30. Graph presentations for moments of noncentral Wishart distributions and their applications in ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s40953-021-00267-7

    DOI

    http://dx.doi.org/10.1007/s40953-021-00267-7

    DIMENSIONS

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