The complex Wishart distribution and the symmetric group
Graczyk, Piotr ; Letac, Gérard ; Massam, Hélène
Ann. Statist., Tome 31 (2003) no. 1, p. 287-309 / Harvested from Project Euclid
Let V be the space of (r,r) Hermitian matrices and let $\Omega$ be the cone of the positive definite ones. We say that the random variable S, taking its values in $\overline{\Omega},$ has the complex Wishart distribution $\gamma_{p,\sigma}$ if $\mathbb{E}(\exp \,\tr (\theta S))=(\det (I_r-\sigma\theta))^{-p},$ where $\sigma$ and $\sigma^{-1}-\theta$ are in $\Omega,$ and where p=1,2,...,r-1 or p>r-1. In this paper, we compute all moments of $S$ and $S^{-1}.$ The techniques involve in particular the use of the irreducible characters of the symmetric group.
Publié le : 2003-02-14
Classification:  Complex Wishart,  moments,  symmetric group,  irreducible representations,  Schur polynomials,  62H05,  60E05,  62E17
@article{1046294466,
     author = {Graczyk, Piotr and Letac, G\'erard and Massam, H\'el\`ene},
     title = {The complex Wishart distribution and the symmetric group},
     journal = {Ann. Statist.},
     volume = {31},
     number = {1},
     year = {2003},
     pages = { 287-309},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1046294466}
}
Graczyk, Piotr; Letac, Gérard; Massam, Hélène. The complex Wishart distribution and the symmetric group. Ann. Statist., Tome 31 (2003) no. 1, pp.  287-309. http://gdmltest.u-ga.fr/item/1046294466/