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.
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Volume (Year): 55 (1995)
Issue (Month): 2 (November)
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