Open this publication in new window or tab >>2017 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 46, no 6, p. 2990-3005Article in journal (Refereed) Published
Abstract [en]
In this paper, we give a general recursive formula for , where denotes a real Wishart matrix. Formulas for fixed n, p are presented as well as asymptotic versions when i.e. when the so called Kolmogorov condition holds. Finally, we show application of the asymptotic moment relation when deriving moments for the Marchenko-Pastur distribution (free Poisson law). A numerical illustration using implementation of the main result is also performed.
Place, publisher, year, edition, pages
Taylor & Francis, 2017
Keywords
Eigenvalue distribution; free moments; free Poisson law; Marchenko– Pastur law; random matrices; spectral distribution; Wishart matrix
National Category
Mathematics
Identifiers
urn:nbn:se:liu:diva-122618 (URN)10.1080/03610926.2015.1053942 (DOI)000390425800031 ()
Note
The previous status on this article was Manuscript.
2015-11-122015-11-122017-12-01Bibliographically approved