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On n/p-Asymptotic Distribution Of Vector Of Weighted Traces Of Powers Of Wishart Matrice
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.ORCID iD: 0000-0002-0341-7472
Swedish university of agricultural sciences, Sweden;Linköping University, Sweden.
Linköping University, Sweden.
2018 (English)In: The Electronic Journal of Linear Algebra, ISSN 1537-9582, E-ISSN 1081-3810, Vol. 33, p. 24-40Article in journal (Refereed) Published
Abstract [en]

The joint distribution of standardized traces of 1/n XX' and of (1/n XX')(2), where the matrix X : p x n follows a matrix normal distribution is proved asymptotically to be multivariate normal under condition n/p ->(n,p ->infinity) c> 0. Proof relies on calculations of asymptotic moments and cumulants obtained using a recursive formula derived in Pielaszkiewicz et al. (2015). The covariance matrix of the underlying vector is explicitely given as a function of n and p.

Place, publisher, year, edition, pages
International Linear Algebra Society , 2018. Vol. 33, p. 24-40
Keywords [en]
Wishart matrix, Multivariate normal distribution, Spectral distribution, Spectral moments, Covariance matrix
National Category
Mathematics
Research subject
Natural Science, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-90411DOI: 10.13001/1081-3810.3732ISI: 000485374300004Scopus ID: 2-s2.0-85067605841OAI: oai:DiVA.org:lnu-90411DiVA, id: diva2:1376027
Available from: 2019-12-06 Created: 2019-12-06 Last updated: 2020-12-11Bibliographically approved

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Pielaszkiewicz, Jolanta Maria

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