Sammanfattning

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.

Nyckelord

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

Publicerad i

Electronic Journal Of Linear Algebra
2018, Volym: 33, sidor: 24-40
Utgivare: INT LINEAR ALGEBRA SOC

SLU författare

• von Rosen, Dietrich

  • Institutionen för energi och teknik, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Algebra och logik


Publikationens identifierare

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

Permanent länk till denna sida (URI)

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