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Correction on Moments of minors of Wishart matrices
Compound matrix graphical models multivariate analysis random determinant random matrix tetrad.
2012/9/17
Theorem 5.7 in [1] gives a formula for the variance of a minor (i.e., a sub-determinant) of a Wishart random matrix. The formula has to be corrected as follows.
Condition Numbers of Indefinite Rank 2 Ghost Wishart Matrices
Condition Numbers Indefinite Rank 2 Ghost Wishart Matrices
2012/9/19
We define an indefinite Wishart matrix as a matrix of the formA=WTWΣ, where Σis an indefinite diagonal matrix andWis a matrix of independent standard normals. We focus on the case whereWis L×2which ha...
Statistical eigen-inference from large Wishart matrices
Sample covariance matrices random matrix theory Wishartmatrices second order freeness free probability
2010/4/26
We consider settings where the observations are drawn from a zero-mean multivariate
(real or complex) normal distribution with the population covariance matrix
having eigenvalues of arbitrary multip...