Moments of a Wishart Matrix

Grant Hillier () and Raymond Kan ()
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Grant Hillier: CeMMAP, University of Southampton
Raymond Kan: University of Toronto

Journal of Quantitative Economics, 2021, vol. 19, issue 1, No 9, 162 pages

Abstract: Abstract The paper discusses the moments of Wishart matrices, in both the central and noncentral cases. The first part of the paper shows that the expectation map has certain homogeneity and equivariance properties which impose considerable structure on the moments, hitherto unrecognised. The second part of the paper explains how the moments may be computed efficiently. The two parts of the paper are completely independent, but the computations produce precisely the algebraic structure predicted in the first part, as well as reproducing all previously known formulae. A number of examples are given for the more manageable cases.

Keywords: Wishart matrix; Higher order moments; Homogeneity; Equivariance (search for similar items in EconPapers)
JEL-codes: C01 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s40953-021-00267-7

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