Two Sample Covariances from a Trivariate Normal Distribution

Characteristic functions; other transforms (60E10) Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Geometric probability and stochastic geometry (60D05) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Integral transforms of special functions (44A20)

Abstract: The joint distribution of two off-diagonal Wishart matrix elements was useful in recent work on geometric probability [Finch 2010]. Not finding such formulas in the literature, we report these here.

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