A recursion formula for expected negative and positive powers of the central Wishart distribution

• Autores: Heinz Neudecker
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 31, Nº. 2, 2007, págs. 201-205
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Resumen

  • We use Haff�s fundamental identity to express the expectation of Sp in lower-order terms, where S follows the central Wishart distribution.

• Referencias bibliográficas
  • Hadley, G. (1972). Linear Algebra. Addison-Wesley Publishing Company Inc., Reading.
  • Neudecker, H. (2000). «A note on the matrix Haffian». Qüestiió, 24, 419-424.
  • Neudecker, H. (2001). «Some applications of the matrix Haffian in connection with differentiable matrix functions of a central Wishart variate»....