von Rosen, Dietrich
- Institutionen för energi och teknik, Sveriges lantbruksuniversitet
Sammanfattning
In this paper, we give a general recursive formula forE[∏ki=0Tr{Wmi}], whereW∼ Wp(I,n) denotes a real Wishart matrix. Formulas for fixed n,pare presented as well as asymptotic versions when npn,p→∞→c, i.e., when the so called Kolmogorov condition holds. Finally, we show application of the asymptotic moment relation when deriving moments for the Marchenko-Pastur distribution (free Poisson law). A numerical illustration using implementation of the main result is also performed
Publicerad i
LiTH-MAT-R
2015, nummer: 2015/04
Utgivare: Linköping University
SLU författare
UKÄ forskningsämne
Sannolikhetsteori och statistik
Permanent länk till denna sida (URI)
https://res.slu.se/id/publ/88342