Moments and cumulants for the complex Wishart

Christopher S. Withers and Saralees Nadarajah

Journal of Multivariate Analysis, 2012, vol. 112, issue C, 242-247

Abstract: We summarize the main results known for the complex normal and complex Wishart, then give the cumulants of the central and noncentral complex Wishart. Their moments are expressed explicitly in terms of multivariate Bell polynomials, believed to be used here for the first time. Multivariate Bell polynomials are easily written down from their univariate forms, which are widely accessible in most computer algebra packages. This is shown to be the natural way of obtaining the moments for any sum of independent and identically distributed (i.i.d.) random variables. An extension is given to the weighted complex Wishart.

Keywords: Bell polynomials; Complex normal; Complex Wishart; Cumulants; Moments (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.jmva.2012.05.002

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