On a symbolic representation of non-central Wishart random matrices with applications

Elvira Di Nardo

Journal of Multivariate Analysis, 2014, vol. 125, issue C, 121-135

Abstract: By using a symbolic method, known in the literature as the classical umbral calculus, the trace of a non-central Wishart random matrix is represented as the convolution of the traces of its central component and of a formal variable matrix. Thanks to this representation, the moments of this random matrix are proved to be a Sheffer polynomial sequence, allowing us to recover several properties. The multivariate symbolic method generalizes the employment of Sheffer representation and a closed form formula for computing joint moments and cumulants (also normalized) is given. By using this closed form formula and a combinatorial device, known in the literature as necklace, an efficient algorithm for their computations is set up. Applications are given to the computation of permanents as well as to the characterization of inherited estimators of cumulants, which turn useful in dealing with minors of non-central Wishart random matrices. An asymptotic approximation of generalized moments involving free probability is proposed.

Keywords: Random matrix; Moment method; Umbral calculus; Sheffer polynomial sequence; Complete homogeneous polynomial; Cyclic polynomial; Cumulant; Necklace; Permanent; Spectral polykay; Free probability (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2013.12.001

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