MINIMAL MOMENTS AND CUMULANTS OF SYMMETRICAL MATRICES - AN APPLICATION TO THE WISHART DISTRIBUTION

Authors
KOLLO T VONROSEN D
Citation
T. Kollo et D. Vonrosen, MINIMAL MOMENTS AND CUMULANTS OF SYMMETRICAL MATRICES - AN APPLICATION TO THE WISHART DISTRIBUTION, Journal of Multivariate Analysis, 55(2), 1995, pp. 149-164
Citations number
16
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Multivariate Analysis → ACNP
ISSN journal
0047259X
Volume
55
Issue
2
Year of publication
1995
Pages
149 - 164
Database
ISI
SICI code
0047-259X(1995)55:2<149:MMACOS>2.0.ZU;2-1
Abstract
An algorithm is proposed and notions defined to determine the minimal sets of all possible higher order moments and cumulants of a random ve ctor or a random matrix. The main attention has been paid to the case of symmetric matrices. Using the introduced notions, cumulants of arbi trary order for the Wishart distribution have been obtained. (C) 1995 Academic Press, Inc.