Abstract
Moments of functions of Wishart distributed matrices appear frequently in multivariate analysis. Although a considerable number of such moments have long been available in the literature, they appear in rather dispersed sources and may sometimes be difficult to locate. This paper presents a collection of moments of the Wishart and inverse Wishart distribution, involving functions such as traces, determinants, Kronecker, and Hadamard products, etc. Moments of factors resulting from decompositions of Wishart matrices are also included.
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CITATION STYLE
Holgersson, T., & Pielaszkiewicz, J. (2020). A collection of moments of the Wishart distribution. In Recent Developments in Multivariate and Random Matrix Analysis: Festschrift in Honour of Dietrich von Rosen (pp. 147–162). Springer International Publishing. https://doi.org/10.1007/978-3-030-56773-6_9
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