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Expectations of Functions of Complex Wishart Matrix

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Abstract

In this article, we study lower and upper triangular factorizations of the complex Wishart matrix. Further, using these factorizations, we obtain several expected values of scalar and matrix valued functions of the complex Wishart matrix. We also generalize Muirhead’s identity for the complex case which gives a number of interesting special cases.

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Authors and Affiliations

  1. Departamento de Matemáticas, Universidad de Antioquia, Calle 67, No. 53-108, Medellín, Colombia

    Daya K. Nagar

  2. Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH, 43403-0221, USA

    Arjun K. Gupta

Authors
  1. Daya K. Nagar
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  2. Arjun K. Gupta
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Correspondence to Arjun K. Gupta.

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Nagar, D.K., Gupta, A.K. Expectations of Functions of Complex Wishart Matrix. Acta Appl Math 113, 265–288 (2011). https://doi.org/10.1007/s10440-010-9599-x

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  • DOI: https://doi.org/10.1007/s10440-010-9599-x

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