Moments of minors of Wishart matrices

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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 $m\times m$-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.
Published in at http://dx.doi.org/10.1214/07-AOS522 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Probability, Statistics Theory, 60E05, 62H10 (Primary)

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http://salesiana.dossiersoluciones.com/handle/123456789/173673

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0604488
 http://arxiv.org/abs/math/0604488
 Annals of Statistics 2008, Vol. 36, No. 5, 2261-2283
 doi:10.1214/07-AOS522

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arXiv