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Minimal Moments and Cumulants of Symmetric Matrices: An Application to the Wishart Distribution

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  • Kollo, T.
  • Vonrosen, D.

Abstract

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.

Suggested Citation

  • Kollo, T. & Vonrosen, D., 1995. "Minimal Moments and Cumulants of Symmetric Matrices: An Application to the Wishart Distribution," Journal of Multivariate Analysis, Elsevier, vol. 55(2), pages 149-164, November.
  • Handle: RePEc:eee:jmvana:v:55:y:1995:i:2:p:149-164
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    Cited by:

    1. Withers, Christopher S. & Nadarajah, Saralees, 2011. "Estimates of low bias for the multivariate normal," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1635-1647, November.

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