Research article - Peer-reviewed, 2020
On the mean and dispersion of the Moore-Penrose generalized inverse of a Wishart matrix
Imori, Shinpei; Von Rosen, DietrichAbstract
The Moore-Penrose inverse of a singular Wishart matrix is studied. When the scale matrix equals the identity matrix the mean and dispersion matrices of the Moore-Penrose inverse are known. When the scale matrix has an arbitrary structure no exact results are available. The article complements the existing literature by deriving upper and lower bounds for the expectation and an upper bound for the dispersion of the Moore-Penrose inverse. The results show that the bounds become large when the number of rows (columns) of the Wishart matrix are close to the degrees of freedom of the distribution.Keywords
Expectation and dispersion matrix; Moore-Penrose inverse; Wishart matrixPublished in
Electronic Journal Of Linear Algebra2020, volume: 36, pages: 124-133
Publisher: INT LINEAR ALGEBRA SOC
Authors' information
Imori, Shinpei
Hiroshima Univ
Swedish University of Agricultural Sciences, Department of Energy and Technology
von Rosen, Dietrich (Von Rosen, Dietrich)
Linköping University
UKÄ Subject classification
Discrete Mathematics
Publication Identifiers
DOI: https://doi.org/10.13001/ela.2020.5091
URI (permanent link to this page)
https://res.slu.se/id/publ/105426