For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order m is populated by all m×m-minors of the Wishart matrix. Our results yield first and second moments of the minors of the sample covariance matrix for multivariate normal observations. This work is motivated by the fact that such minors arise in the expression of constraints on the covariance matrix in many classical multivariate problems.
Publié le : 2008-10-15
Classification:
Compound matrix,
graphical models,
multivariate analysis,
random determinant,
random matrix,
tetrad,
60E05,
62H10
@article{1223908092,
author = {Drton, Mathias and Massam, H\'el\`ene and Olkin, Ingram},
title = {Moments of minors of Wishart matrices},
journal = {Ann. Statist.},
volume = {36},
number = {1},
year = {2008},
pages = { 2261-2283},
language = {en},
url = {http://dml.mathdoc.fr/item/1223908092}
}
Drton, Mathias; Massam, Hélène; Olkin, Ingram. Moments of minors of Wishart matrices. Ann. Statist., Tome 36 (2008) no. 1, pp. 2261-2283. http://gdmltest.u-ga.fr/item/1223908092/