Asymptotic normality for traces of polynomials in independent complex Wishart matrices

• 成果类型: Article
• 署名作者: Bryc, Wlodzimierz
• 署名单位: University System of Ohio; University of Cincinnati
• 刊物名称: PROBABILITY THEORY AND RELATED FIELDS
• ISSN/ISSBN: 0178-8051
• DOI: 10.1007/s00440-007-0068-z
• 发表日期: 2008
• 页码: 383-405
• 关键词: eigenvalues

摘要

We derive a non-asymptotic expression for the moments of traces of monomials in several independent complex Wishart matrices, extending some explicit formulas available in the literature. We then deduce the explicit expression for the cumulants. From the latter, we read out the multivariate normal approximation to the traces of finite families of polynomials in independent complex Wishart matrices.