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A collection of moments of the Wishart distribution
Linnaeus University, Department of Economics and Statistics.
Linköpings universitet, Institutionen för datavetenskap, Statistik och maskininlärning. Linköpings universitet, Filosofiska fakulteten.ORCID-id: 0000-0002-0341-7472
2020 (engelsk)Inngår i: Recent developments in multivariate and random matrix analysis: Festschrift in honour of Dietrich von Rosen / [ed] Thomas Holgersson, Martin Singull, Springer International Publishing , 2020, s. 147-162Kapittel i bok, del av antologi (Annet vitenskapelig)
Abstract [en]

Moments of functions of Wishart distributed matrices appear frequently in multivariate analysis. Although a considerable number of such moments have long been available in the literature, they appear in rather dispersed sources and may sometimes be difficult to locate. This paper presents a collection of moments of the Wishart and inverse Wishart distribution, involving functions such as traces, determinants, Kronecker, and Hadamard products, etc. Moments of factors resulting from decompositions of Wishart matrices are also included.

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Springer International Publishing , 2020. s. 147-162
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URN: urn:nbn:se:liu:diva-171741DOI: 10.1007/978-3-030-56773-6_9Libris ID: dssbjdncbbq1nr2rISBN: 9783030567736 (tryckt)OAI: oai:DiVA.org:liu-171741DiVA, id: diva2:1505485
Tilgjengelig fra: 2020-12-01 Laget: 2020-12-01 Sist oppdatert: 2021-08-12bibliografisk kontrollert

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Pielaszkiewicz, Jolanta

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  • de-DE
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