Spectral asymptotic expansion of Wishart matrices with exploding moments
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Latin American Journal of Probability and Mathematical Statistics
سال: 2018
ISSN: 1980-0436
DOI: 10.30757/alea.v15-34