On n/p-Asymptotic Distribution Of Vector Of Weighted Traces Of Powers Of Wishart Matrices

Abstract

The joint distribution of standardized traces of 1/n XX' and of (1/n XX')(2), where the matrix X : p x n follows a matrix normal distribution is proved asymptotically to be multivariate normal under condition n/p ->(n,p ->infinity) c> 0. Proof relies on calculations of asymptotic moments and cumulants obtained using a recursive formula derived in Pielaszkiewicz et al. (2015). The covariance matrix of the underlying vector is explicitely given as a function of n and p.

Keywords

Wishart matrix; Multivariate normal distribution; Spectral distribution; Spectral moments; Covariance matrix

Published in

Electronic Journal Of Linear Algebra
2018, Volume: 33, pages: 24-40 Publisher: INT LINEAR ALGEBRA SOC

SLU Authors

• von Rosen, Dietrich

  • Department of Energy and Technology, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Algebra and Logic


Publication identifier

DOI: https://doi.org/10.13001/1081-3810.3732

Permanent link to this page (URI)

https://res.slu.se/id/publ/112436