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A collection of moments of the Wishart distribution
Linnaeus University, Department of Economics and Statistics.
Linköping University, Department of Computer and Information Science, The Division of Statistics and Machine Learning. Linköping University, Faculty of Arts and Sciences.ORCID iD: 0000-0002-0341-7472
2020 (English)In: Recent developments in multivariate and random matrix analysis: Festschrift in honour of Dietrich von Rosen / [ed] Thomas Holgersson, Martin Singull, Springer International Publishing , 2020, p. 147-162Chapter in book (Other academic)
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.

Place, publisher, year, edition, pages
Springer International Publishing , 2020. p. 147-162
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:liu:diva-171741DOI: 10.1007/978-3-030-56773-6_9Libris ID: dssbjdncbbq1nr2rISBN: 9783030567736 (print)OAI: oai:DiVA.org:liu-171741DiVA, id: diva2:1505485
Available from: 2020-12-01 Created: 2020-12-01 Last updated: 2021-08-12Bibliographically approved

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Publisher's full textFind book at a Swedish library/Hitta boken i ett svenskt bibliotekFind book in another country/Hitta boken i ett annat landhttps://libris.kb.se/bib/dssbjdncbbq1nr2r

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Pielaszkiewicz, Jolanta

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Citation style
  • apa
  • ieee
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  • oxford
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
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  • text
  • asciidoc
  • rtf