MOMENTS OF MINORS OF WISHART MATRICES
成果类型：
Article
署名作者：
Drton, Mathias; Massam, Helene; Olkin, Ingram
署名单位：
University of Chicago; York University - Canada; Stanford University
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/07-AOS522
发表日期：
2008
页码：
2261-2283
关键词：
摘要：
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 x 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 problems.
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