The University of Southampton
×
Filter your search:
University of Southampton Institutional Repository

Moments of a Wishart Matrix

Moments of a Wishart Matrix
Moments of a Wishart Matrix
The paper discusses the moments of Wishart matrices, in both the central and noncentral cases. The first part of the paper shows that the expectation map has certain homogeneity and equivariance properties which impose considerable structure on the moments, hitherto unrecognised. The second part of the paper explains how the moments may be computed efficiently. The two parts of the paper are completely independent, but the computations produce precisely the algebraic structure predicted in the first part, as well as reproducing all previously known formulae. A number of examples are given for the more manageable cases.
141–162
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Kan, Raymond
4068dcb5-18f4-4e95-845c-88e5e458fcfa
Hillier, Grant
3423bd61-c35f-497e-87a3-6a5fca73a2a1
Kan, Raymond
4068dcb5-18f4-4e95-845c-88e5e458fcfa

Hillier, Grant and Kan, Raymond (2021) Moments of a Wishart Matrix. Journal of Quantitative Economics, 19, 141–162. (doi:10.1007/s40953-021-00267-7).

Record type: Article

Abstract

The paper discusses the moments of Wishart matrices, in both the central and noncentral cases. The first part of the paper shows that the expectation map has certain homogeneity and equivariance properties which impose considerable structure on the moments, hitherto unrecognised. The second part of the paper explains how the moments may be computed efficiently. The two parts of the paper are completely independent, but the computations produce precisely the algebraic structure predicted in the first part, as well as reproducing all previously known formulae. A number of examples are given for the more manageable cases.

Text
Wishart Moments9kg - Accepted Manuscript
Available under License University of Southampton Accepted Manuscript Licence.
Download (317kB)

More information

Submitted date: 21 May 2021
Accepted/In Press date: 27 October 2021
e-pub ahead of print date: 9 November 2021
Published date: 1 December 2021

Identifiers

Local EPrints ID: 449452
URI: http://eprints.soton.ac.uk/id/eprint/449452
DOI: doi:10.1007/s40953-021-00267-7
PURE UUID: 3abf74fb-65c4-4cee-8dd3-d2e3df345530
ORCID for Grant Hillier: ORCID iD orcid.org/0000-0003-3261-5766

Catalogue record

Date deposited: 01 Jun 2021 16:31
Last modified: 17 Mar 2024 06:36

Export record

Altmetrics

Contributors

Author: Grant Hillier ORCID iD
Author: Raymond Kan

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Library staff additional information
Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×