Moments for Elliptically Contoured Random Matrices

For an elliptically contoured n × p random matrix$\mathbf{\mathit{Y}}\boldsymbol{\sim }MEC_{\mathbf{\mathit{n}}\boldsymbol{\times}\mathbf{\mathit{p}}}(\boldsymbol{\mu},\mathbf{\mathit{A}}\boldsymbol{\otimes}\boldsymbol{\Sigma},\boldsymbol{\phi})$, the mth order moment$\mathbf{\mathit{E}}(\boldsymbol...

Full description

Saved in:
Bibliographic Details
Published in:Sankhyā. Series B 1992-12, Vol.54 (3), p.265-277
Main Authors: Wong, Chi Song, Wang, Tonghui
Format: Article
Language:English
Subjects:
Algebra
Kronecker product
Linear algebra
Mathematical moments
Matrices
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:For an elliptically contoured n × p random matrix$\mathbf{\mathit{Y}}\boldsymbol{\sim }MEC_{\mathbf{\mathit{n}}\boldsymbol{\times}\mathbf{\mathit{p}}}(\boldsymbol{\mu},\mathbf{\mathit{A}}\boldsymbol{\otimes}\boldsymbol{\Sigma},\boldsymbol{\phi})$, the mth order moment$\mathbf{\mathit{E}}(\boldsymbol{\otimes}^{\mathbf{\mathit{m}}}\mathbf{\mathit{Y}})$is obtained in terms of μ, A, Σ, and φ.
ISSN:0581-5738