Asymptotic normality for traces of polynomials in independent complex Wishart matrices

DOI10.1007/S00440-007-0068-ZzbMATH Open1132.62038arXivmath/0701318OpenAlexW2013086830MaRDI QIDQ2480809FDOQ2480809

Authors: Włodek Bryc 

Publication date: 3 April 2008

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We derive a non-asymptotic expression for the moments of traces of monomials in several independent complex Wishart matrices, extending some explicit formulas available in the literature. We then deduce the explicit expression for the cumulants. From the latter, we read out the multivariate normal approximation to the traces of finite families of polynomials in independent complex Wishart matrices.

Full work available at URL: https://arxiv.org/abs/math/0701318

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zbMATH Keywords

MomentsNormal approximationComplex Wishart

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (algebraic aspects) (15B52) Approximations to statistical distributions (nonasymptotic) (62E17) Enumeration in graph theory (05C30)

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