Moments of wishart distribution

DOI10.1080/07362999608809436zbMath0859.62055OpenAlexW2006449746MaRDI QIDQ4882960

Shagufta A. Sultan, Derrick Shannon Tracy

Publication date: 5 August 1996

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999608809436

zbMATH Keywords

symmetrymultivariate normal distributionmatrix derivativeshigher momentscentral and noncentral Wishart distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probability distributions: general theory (60E05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (3)

Linear. empirical bayes estimation in the case of the wishart distribution ⋮ Estimates of low bias for the multivariate normal ⋮ Optimal Portfolios for Financial Markets with Wishart Volatility

Cites Work

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• The commutation matrix: Some properties and applications
• On the dispersion matrix of a matrix quadratic form connected with the noncentral Wishart distribution
• The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions
• Some results on commutation matrices, with statistical applications
• Higher order moments of random vectors using matrix derivatives
• Higher order moments of multivariate normal distribution using matrix derivatives

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