Title of article :
Moments and cumulants for the complex Wishart
Author/Authors :
Withers، نويسنده , , Christopher S. and Nadarajah، نويسنده , , Saralees، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2012
Pages :
6
From page :
242
To page :
247
Abstract :
We summarize the main results known for the complex normal and complex Wishart, then give the cumulants of the central and noncentral complex Wishart. Their moments are expressed explicitly in terms of multivariate Bell polynomials, believed to be used here for the first time. Multivariate Bell polynomials are easily written down from their univariate forms, which are widely accessible in most computer algebra packages. This is shown to be the natural way of obtaining the moments for any sum of independent and identically distributed (i.i.d.) random variables. An extension is given to the weighted complex Wishart.
Keywords :
Complex Wishart , Cumulants , Bell polynomials , Complex normal , Moments
Journal title :
Journal of Multivariate Analysis
Serial Year :
2012
Journal title :
Journal of Multivariate Analysis
Record number :
1565981
Link To Document :
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