Mixtures of traces of Wishart and inverse Wishart matrices

DOI10.1080/03610926.2019.1691733OpenAlexW2990333555MaRDI QIDQ5079120

Jolanta Pielaszkiewicz, Thomas Holgersson

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1691733

zbMATH Keywords

eigenvalue distributioncovariance matrixcentral limit theoremWishart matrixinverse Wishart matrix

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Statistics (62-XX) Random matrices (algebraic aspects) (15B52)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Distributional properties of portfolio weights
• Trends and perspectives in linear statistical inference. Proceedings of the LINSTAT2016 meeting held 22--25 August 2016 in Istanbul, Turkey
• The noncentral Wishart as an exponential family, and its moments
• Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
• Multivariate empirical Bayes and estimation of covariance matrices
• Random matrices with complex Gaussian entries
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• A note on testing the covariance matrix for large dimension
• Statistical Inference for High-Dimensional Global Minimum Variance Portfolios
• On , where
• On the trace of a wishart
• All Invariant Moments of the Wishart Distribution
• Large Sample Covariance Matrices and High-Dimensional Data Analysis
• G-estimates of the quadratic discriminant function