An identity concerning a Wishart matrix (Q1073499)
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English | An identity concerning a Wishart matrix |
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An identity concerning a Wishart matrix (English)
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1986
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Let S be a \(p\times p\) Wishart matrix with parameters n and \(\Sigma\). For a rational number \(\alpha =r/s\) with r and s integers and s positive, let \(S^{\alpha}\) denote a positive definite matrix such that \((S^{\alpha})^ s=S^ r\). Using a decision theoretic argument, we prove that \[ E[(tr S)^ 2tr S^{\alpha}]=(np+2+2\alpha)E[tr S tr S^{\alpha}] \] when \(\Sigma =I\) and \(np+2+2\alpha\) is positive.
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Bayes estimator
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Wishart matrix
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