Affiliation:
1. Instituto de Matemáticas, Universidad de Antioquia, Calle 67, No. 53-108, Medellín 050010, Colombia
2. Department of Mathematics, University of Manchester, Manchester M13 9PL, UK
Abstract
The complex Wishart distribution has ample applications in science and engineering. In this paper, we give explicit expressions for E(tr(Wh))g(tr(Wj))i and E(tr(W−h))g(tr(W−j))i, respectively, for particular values of g, h, i, j, g+h+i+j≤5, where W follows a complex Wishart distribution. For specific values of g, h, i, j, we first write (tr(Wh))g(tr(Wj))i and (tr(W−h))g(tr(W−j))i in terms of zonal polynomials and then by using results on integration evaluate resulting expressions. Several expected values of matrix-valued functions of a complex Wishart matrix have also been derived.
Subject
General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)