An Introduction to Wishart Matrix Moments
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Publication:4626922
DOI10.1561/2200000072zbMath1442.60006arXiv1710.10864OpenAlexW2765796454WikidataQ128829440 ScholiaQ128829440MaRDI QIDQ4626922
Unnamed Author, Pierre Del Moral, Adrian N. Bishop
Publication date: 6 March 2019
Published in: Foundations and Trends® in Machine Learning (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.10864
random matrix theoryWishart processessample covariance matricesGaussian-type sample covariance matrix
Sampling theory, sample surveys (62D05) Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)
Related Items (9)
On the non-asymptotic concentration of heteroskedastic Wishart-type matrix ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices ⋮ High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation ⋮ MSE bounds for estimators of matrix functions ⋮ On one-dimensional Riccati diffusions ⋮ Integral transform methods in goodness-of-fit testing. II: The Wishart distributions ⋮ Limiting behavior of large correlated Wishart matrices with chaotic entries
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