scientific article; zbMATH DE number 6949937

DOI10.13001/1081-3810,1537-9582.3732MaRDI QIDQ4686275zbMATH OpenFDO

Authors Jolanta Pielaszkiewicz, Dietrich Von Rosen, Martin Singull

Publication date 10 October 2018

Full work available at URL https://doi.org/10.13001/1081-3810,1537-9582.3732

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zbMATH Keywords

covariance matrixmultivariate normal distributionspectral distributionspectral momentsWishart matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Asymptotic distribution theory in statistics (62E20) Multivariate distribution of statistics (62H10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• A Characterization of the Multivariate Normal Distribution
• Cumulants in noncommutative probability theory. II: Generalized Gaussian random variables
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• On \(\mathbb{E} \left[ \prod_{i=0}^k \operatorname{Tr}\{W^{m_i}\}\right]\), where \(W\sim \mathcal{W}_p(l,n)\)
• Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• Testing independence via spectral moments
• The distribution of a statistic used for testing sphericity of normal distributions

Cited in

(7)

• Asymptotic normality for traces of polynomials in independent complex Wishart matrices
• On \(\mathbb{E} \left[ \prod_{i=0}^k \operatorname{Tr}\{W^{m_i}\}\right]\), where \(W\sim \mathcal{W}_p(l,n)\)
• scientific article; zbMATH DE number 3949512 (Why is no real title available?)
• scientific article; zbMATH DE number 37603 (Why is no real title available?)
• Weighted Condition Number Distributions Emanating from Complex Noncentral Wishart Type Matrices
• Mixtures of traces of Wishart and inverse Wishart matrices
• Noncentral Wishart matrices, asymptotic normality of vec and smooth statistics

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