Distribution and characteristic functions for correlated complex Wishart matrices

DOI10.1016/J.JMVA.2006.09.013MaRDI QIDQ2370519zbMATH OpenOpenAlexFDO

Authors Peter J. Smith, Lee M. Garth

Publication date 26 June 2007

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2006.09.013

zbMATH Keywords

eigenvalueshypergeometric functionnon-central distributioncorrelated Wishart

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Multivariate distribution of statistics (62H10) Inference from stochastic processes (62M99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Eigenvalues, singular values, and eigenvectors (15A18)

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Cites work

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• scientific article; zbMATH DE number 1528193 (Why is no real title available?)
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Cited in

(10)

• Extreme eigenvalue distributions of some complex correlated non-central Wishart and gamma-Wishart random matrices
• Differential relations for the largest root distribution of complex non-central Wishart matrices
• Moments and cumulants for the complex Wishart
• Expectations of functions of complex Wishart matrix
• Geostatistical modeling of positive‐definite matrices: An application to diffusion tensor imaging
• Noncentral complex Wishart matrices: Moments and correlation of minors
• Weighted Condition Number Distributions Emanating from Complex Noncentral Wishart Type Matrices
• A spatial Bayesian semiparametric mixture model for positive definite matrices with applications in diffusion tensor imaging
• Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix
• Eigenfunction statistics of Wishart Brownian ensembles

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