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Evaluating matrix-variate moments through higher-order differential forms and combinatorial algorithms

Authors :
Hua Cheng
Chi Song Wong
Source :
Journal of Statistical Planning and Inference. 91:1-21
Publication Year :
2000
Publisher :
Elsevier BV, 2000.

Abstract

Higher-order chain rule for differential forms is used to obtain the (higher-order) moments of a random matrix from certain cumulants and vice versa. Computer algorithms are written for the above chain rule. In particular, computer algorithms for finding moments and cumulants of normal and Wishart random matrices are obtained.

Details

ISSN :
03783758
Volume :
91
Database :
OpenAIRE
Journal :
Journal of Statistical Planning and Inference
Accession number :
edsair.doi...........ba99eecee96c158159d6f75fab59f8ae
Full Text :
https://doi.org/10.1016/s0378-3758(99)00180-9