A Collection of Moments of the Wishart Distribution

Thomas Holgersson () and Jolanta Pielaszkiewicz ()
Additional contact information
Thomas Holgersson: Linnaeus University, Department of Economics and Statistics
Jolanta Pielaszkiewicz: Linköping University, Department of Computer Science

Chapter Chapter 9 in Recent Developments in Multivariate and Random Matrix Analysis, 2020, pp 147-162 from Springer

Abstract: Abstract Moments of functions of Wishart distributed matrices appear frequently in multivariate analysis. Although a considerable number of such moments have long been available in the literature, they appear in rather dispersed sources and may sometimes be difficult to locate. This paper presents a collection of moments of the Wishart and inverse Wishart distribution, involving functions such as traces, determinants, Kronecker, and Hadamard products, etc. Moments of factors resulting from decompositions of Wishart matrices are also included.

Date: 2020
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-56773-6_9

Ordering information: This item can be ordered from
http://www.springer.com/9783030567736

DOI: 10.1007/978-3-030-56773-6_9

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().