Matrix product moments in normal variables

arXiv1703.00353MaRDI QIDQ6283773FDOQ6283773

Authors: Pierre Del Moral, Adrian N. Bishop 

Publication date: 1 March 2017

Abstract: Let $calX=X{X}^{prime}$ be a random matrix associated with a centered $r$-column centered Gaussian vector $X$ with a covariance matrix $P$. In this article we compute expectations of matrix-products of the form $pro{d}_{1leqileqn}(calX{P}^{v_i})$ for any $ngeq1$ and any multi-index parameters $v_{i}inmathbbN$. We derive closed form formulae and a simple sequential algorithm to compute these matrices w.r.t. the parameter $n$. The second part of the article is dedicated to a non commutative binomial formula for the central matrix-moments $mathbbEleft(left[calX-Pight{]}^{n}ight)$. The matrix product moments discussed in this study are expressed in terms of polynomial formulae w.r.t. the powers of the covariance matrix, with coefficients depending on the trace of these matrices. We also derive a series of estimates w.r.t. the Loewner order on quadratic forms. For instance we shall prove the rather crude estimate $mathbbEleft(left[calX-Pight{]}^{n}ight)leqmathbbEleft({calX}^n-P^{n}ight)$, for any $ngeq1$

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Factorials, binomial coefficients, combinatorial functions (05A10) Noncommutative probability and statistics (46L53)

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