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 x m-mi...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.Read More
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: book
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Cited By Count: 36
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