Two Sample Covariances from a Trivariate Normal Distribution

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

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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