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2011 On the mean and variance of the generalized inverse of a singular Wishart matrix
R. Dennis Cook, Liliana Forzani
Electron. J. Statist. 5: 146-158 (2011). DOI: 10.1214/11-EJS602

Abstract

We derive the first and the second moments of the Moore-Penrose generalized inverse of a singular standard Wishart matrix without relying on a density. Instead, we use the moments of an inverse Wishart distribution and an invariance argument which is related to the literature on tensor functions. We also find the order of the spectral norm of the generalized inverse of a Wishart matrix as its dimension and degrees of freedom diverge.

Citation

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R. Dennis Cook. Liliana Forzani. "On the mean and variance of the generalized inverse of a singular Wishart matrix." Electron. J. Statist. 5 146 - 158, 2011. https://doi.org/10.1214/11-EJS602

Information

Published: 2011
First available in Project Euclid: 15 March 2011

zbMATH: 1274.62350
MathSciNet: MR2786485
Digital Object Identifier: 10.1214/11-EJS602

Subjects:
Primary: 62H05
Secondary: 62E15

Rights: Copyright © 2011 The Institute of Mathematical Statistics and the Bernoulli Society

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