All Invariant Moments of the Wishart Distribution

All invariant moments of the Wishart distribution

In this paper we compute moments of a Wishart matrix variate U of the form E(Q(U)) where Q(u) is a polynomial with respect to the entries of the symmetric matrix u, invariant in the sense that it depends only on the eigenvalues of the matrix u. This gives us in particular the expected value of any power of the Wishart matrix U or its inverse U−1. For our proofs, we do not rely on traditional co...

Moments of Minors of Wishart Matrices

Stanford University For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order m is populated by all m×mminors of the Wishart matrix. Our results yield first and second moments of the minors of the sample covariance matrix for multivariate normal observations. This work is motivated by...

On moments of complex Wishart and complex inverse Wishart distributed matrices

This paper addresses the calculation of moments of complex Wishart and complex inverse Wishart distributed random matrices. Complex Wishart and complex inverse Wishart distributed random matrices are used in applications like radar, sonar, or seismics in order to model the statistical properties of complex sample covariance matrices and complex inverse sample covariance matrices, respectively. ...

The Translation-invariant Wishart-Dirichlet Process for Clustering Distance Data

We present a probabilistic model for clustering of objects represented via pairwise dissimilarities. We propose that even if an underlying vectorial representation exists, it is better to work directly with the dissimilarity matrix hence avoiding unnecessary bias and variance caused by embeddings. By using a Dirichlet process prior we are not obliged to fix the number of clusters in advance. Fu...

Measurement of the moments of the hadronic invariant mass distribution in semileptonic B decays