Benutzer: Gast  Login
Titel:

Moments of minors of Wishart matrices

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
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...     »
Stichworte:
Compound matrix, graphical models, multivariate analysis, random determinant, random matrix, tetrad
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
The Annals of Statistics
Jahr:
2008
Band / Volume:
36
Jahr / Monat:
2008-10
Quartal:
4. Quartal
Monat:
Oct
Heft / Issue:
5
Seitenangaben Beitrag:
2261-2283
Sprache:
en
Volltext / DOI:
doi:10.1214/07-aos522
WWW:
Project Euclid
Verlag / Institution:
Institute of Mathematical Statistics
E-ISSN:
0090-5364
Publikationsdatum:
13.10.2008
Format:
Text
 BibTeX