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Title:

Moments of minors of Wishart matrices

Document type:
Zeitschriftenaufsatz
Author(s):
Drton, Mathias; Massam, Hélène; Olkin, Ingram
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:
5
Pages contribution:
2261-2283
Language:
en
Fulltext / DOI:
doi:10.1214/07-aos522
WWW:
Project Euclid
Publisher:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Date of publication:
13.10.2008
Format:
Text
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