Moments of minors of Wishart matrices

Details Moments of minors of Wishart matrices Moments of minors of Wishart matrices

2006-04-22

arxiv.org/abs/math/0604488v2

Annals of Statistics 2008, Vol. 36, No. 5, 2261-2283

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AOS522 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of

Scientific paper

10.1214/07-AOS522

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 $m\times m$-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.

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