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Document type:
Zeitschriftenaufsatz 
Author(s):
Drton, Mathias; Massam, Hélène; Olkin, Ingram 
Title:
Moments of minors of Wishart matrices 
Abstract:
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×m-minors 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 the fact that such minors arise in the expression of constraints on the covariance matrix in many classical multivariate...    »
 
Keywords:
Compound matrix, graphical models, multivariate analysis, random determinant, random matrix, tetrad 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
The Annals of Statistics 
Year:
2008 
Journal volume:
36 
Year / month:
2008-10 
Quarter:
4. Quartal 
Month:
Oct 
Journal issue:
Pages contribution:
2261-2283 
Language:
en 
Fulltext / DOI:
Publisher:
Institute of Mathematical Statistics 
E-ISSN:
0090-5364 
Date of publication:
13.10.2008 
Format:
Text