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A Collection of Moments of the Wishart Distribution

In: Recent Developments in Multivariate and Random Matrix Analysis

Author

Listed:
  • Thomas Holgersson

    (Linnaeus University, Department of Economics and Statistics)

  • Jolanta Pielaszkiewicz

    (Linköping University, Department of Computer Science)

Abstract

Moments of functions of Wishart distributed matrices appear frequently in multivariate analysis. Although a considerable number of such moments have long been available in the literature, they appear in rather dispersed sources and may sometimes be difficult to locate. This paper presents a collection of moments of the Wishart and inverse Wishart distribution, involving functions such as traces, determinants, Kronecker, and Hadamard products, etc. Moments of factors resulting from decompositions of Wishart matrices are also included.

Suggested Citation

  • Thomas Holgersson & Jolanta Pielaszkiewicz, 2020. "A Collection of Moments of the Wishart Distribution," Springer Books, in: Thomas Holgersson & Martin Singull (ed.), Recent Developments in Multivariate and Random Matrix Analysis, chapter 0, pages 147-162, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-56773-6_9
    DOI: 10.1007/978-3-030-56773-6_9
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