Minimal Moments and Cumulants of Symmetric Matrices: An Application to the Wishart Distribution
An algorithm is proposed and notions defined to determine the minimal sets of all possible higher order moments and cumulants of a random vector or a random matrix. The main attention has been paid to the case of symmetric matrices. Using the introduced notions, cumulants of arbitrary order for the Wishart distribution have been obtained.
Volume (Year): 55 (1995)
Issue (Month): 2 (November)
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