von Rosen, Dietrich
- Department of Energy and Technology, Swedish University of Agricultural Sciences
Report2015
Pielaszkiewicz, Jolanta; Von Rosen, Dietrich; Singull, Martin
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
LiTH-MAT-R
2015, number: 2015/04
Publisher: Linköping University
Probability Theory and Statistics
https://res.slu.se/id/publ/88342