The Annals of Statistics
- Ann. Statist.
- Volume 36, Number 5 (2008), 2261-2283.
Moments of minors of Wishart matrices
For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order m is populated by all m×m-minors of the Wishart matrix. Our results yield first and second moments of the minors of the sample covariance matrix for multivariate normal observations. This work is motivated by the fact that such minors arise in the expression of constraints on the covariance matrix in many classical multivariate problems.
Ann. Statist., Volume 36, Number 5 (2008), 2261-2283.
First available in Project Euclid: 13 October 2008
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Drton, Mathias; Massam, Hélène; Olkin, Ingram. Moments of minors of Wishart matrices. Ann. Statist. 36 (2008), no. 5, 2261--2283. doi:10.1214/07-AOS522. https://projecteuclid.org/euclid.aos/1223908092