The expected values of zonal polynomials of elliptically contoured distributions

DOI10.1007/BF02006181MaRDI QIDQ804068zbMATH OpenOpenAlexFDO

Authors Jian-Lun Xu, Kai-Tai Fang

Publication date 1989

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02006181

zbMATH Keywords

matrix elliptically contoured distributionmultivariate Cauchy distributionmultivariate t-distributionWishart distributionszonal polynomials

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate distribution of statistics (62H10)

Review text

The paper provides expressions for the expected values of zonal polynomials of matrix \(X'X\) in the case where X has a matrix elliptically contoured distribution. The work is based on results of similar nature provided by \textit{A. Constantine} [Ann. Math. Stat. 34, 1270-1285 (1963; Zbl 0123.368)], \textit{D. J. de Waal} [ibid. 43, 344-347 (1972; Zbl 0264.62017)], \textit{B. K. Shah} and \textit{C. G. Khatri} [Ann. Stat. 2, 833- 836 (1974; Zbl 0285.62026)], and \textit{R. J. Muirhead} [Aspects of multivariate statistical theory (New York, 1982)]. The examples that are provided include the multivariate t-distribution and the compound multivariate normal distribution. The fact that the expected values of the multivariate Cauchy distribution do not exist is an obvious consequence of the obtained results.

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Cites work

• Bessel functions of matrix argument
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• Proof of conjectures about the expected values of the elementary symmetric functions of a noncentral Wishart matrix
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(4)

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• scientific article; zbMATH DE number 813759 (Why is no real title available?)
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