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Mixtures of traces of Wishart and inverse Wishart matrices
Linnaeus University, School of Business and Economics, Department of Economics and Statistics (NS). Stockholm University, Sweden.ORCID iD: 0000-0002-0341-7472
Linnaeus University, School of Business and Economics, Department of Economics and Statistics (NS).
2021 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 50, no 21, p. 5084-5100Article in journal (Refereed) Published
Abstract [en]

Traces of Wishart matrices appear in many applications, for example in finance, discriminant analysis, Mahalanobis distances and angles, loss functions and many more. These applications typically involve mixtures of traces of Wishart and inverse Wishart matrices that are concerned in this paper. Of particular interest are the sampling moments and their limiting joint distribution. The covariance matrix of the marginal positive and negative spectral moments is derived in closed form (covariance matrix of where ). The results are obtained through convenient recursive formulas for and Moreover, we derive an explicit central limit theorem for the scaled vector Y, when and present a simulation study on the convergence to normality and on a skewness measure.

Place, publisher, year, edition, pages
Taylor & Francis Group, 2021. Vol. 50, no 21, p. 5084-5100
Keywords [en]
covariance matrix, central limit theorem, eigenvalue distribution, inverse Wishart Matrix, Wishart matrix
National Category
Probability Theory and Statistics Economics and Business
Research subject
Natural Science, Mathematics; Economy
Identifiers
URN: urn:nbn:se:lnu:diva-90504DOI: 10.1080/03610926.2019.1691733ISI: 000497229800001Scopus ID: 2-s2.0-85075203911Local ID: 2019OAI: oai:DiVA.org:lnu-90504DiVA, id: diva2:1377938
Available from: 2019-12-13 Created: 2019-12-13 Last updated: 2025-05-07Bibliographically approved

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Pielaszkiewicz, Jolanta MariaHolgersson, Thomas

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Communications in Statistics - Theory and Methods
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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf