Moments of minors of Wishart matrices
By Mathias Drton, Hélène Massam, Ingram Olkin. 2006
48 citations recorded by the source corpus.
For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order m is populated by all m x m-minors of the Wishart matrix. Our results yield first and second moments of the minors of the sample covariance matrix for multivariate normal observations. This work is motivated by the fact that such minors arise in the expression of constraints on the covariance matrix in many classical multivariate problems.
Subfields: Applied Mathematics, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/2e0fc94c0d87ac8f0aa016f00e0c6c548aee91bb
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In Applied Mathematics
In Statistics and Probability
- Mathias Drton
- Sacha Epskamp
- Marloes H. Maathuis
- Martyn Plummer
- Nanny Wermuth
- Kayvan Sadeghi
- Fang Han
- Bernd Sturmfels
Citations in the corpus
- Algebraic problems in structural equation modeling (2016, methodology): “e the algebraic relations among the coordinates of φG? Such relations are also of interest for statistical tests that assess whether the model given by G is compatible with available data; see, e.g., [6, 11, 17]. We review results on relations among the covariances in Sections 9-12. An important rol”