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Evaluating matrix-variate moments through higher-order differential forms and combinatorial algorithms
- 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.
- Subjects :
- Statistics and Probability
Wishart distribution
Chain rule (probability)
Characteristic function (probability theory)
Applied Mathematics
Combinatorics
Permutation
Matrix (mathematics)
Random variate
Applied mathematics
Statistics, Probability and Uncertainty
Random matrix
Cumulant
Mathematics
Subjects
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