• 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