General moments of the inverse real Wishart distribution and orthogonal Weingarten functions (Q715750): Difference between revisions

A real Wishart distribution is defined on the set of all positive definite symmetric matrices. For a given Wishart matrix \(W\) with entries \(W_{i,j}\), the distribution of the inverse matrix \(W^{-1}\) is called the inverse Wishart distribution with entries denoted as \(W^{i,j}\). In this paper, the general moment \[ {\mathbb E}[W^{i_1j_1}W^{i_2j_2} \dots W^{i_kj_k}] \] for an inverse real Wishart matrix \(W^{-1} = (W^{ij})\) is calculated. These moments were so far only calculated for the case of inverse complex Wishart matrices. The presented calculation is based on slightly modified orthogonal Weingarten function [\textit{B. Collins} and \textit{S. Matsumoto}, ``On some properties of orthogonal Weingarten functions'', J. Math. Phys. 50, No. 11, Paper No. 113516, 14 p. (2009; Zbl 1304.22007)], introduced in order to determine the general moments for a Haar-distributed orthogonal matrix. Several examples of calculations of mixed moments of traces of Wishart and inverse Wishart matrices are given.