Expectations of Functions of Complex Wishart Matrix

  • Authors:

  • Daya K. Nagar;Arjun K. Gupta

  • Affiliations:

  • Departamento de Matemáticas, Universidad de Antioquia, Medellín, Colombia;Department of Mathematics and Statistics, Bowling Green State University, Bowling Green, USA 43403-0221

  • Venue:
  • Acta Applicandae Mathematicae: an international survey journal on applying mathematics and mathematical applications
  • Year:
  • 2011

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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.