IMAL 13325
INSTITUTO DE MATEMATICA APLICADA DEL LITORAL "DRA. ELEONOR HARBOURE"
Unidad Ejecutora - UE
artículos
Título:
On the mean and variance of the generalized inverse of a singular Wishart matrix
Autor/es:
COOK, R. D. AND FORZANI, L.
Revista:
electronic journal of statistics
Editorial:
Institute of Mathematical Statistics
Referencias:
Año: 2011 p. 146 - 158
ISSN:
1467-9469
Resumen:
We derive the first and the second moments of the MoorePenrose generalized inverse of a singular standard Wishart matrix without relying on a density. Instead, we use the moments of an inverse Wishart distribution and an invariance argument which is related to the literature on tensor functions. We also find the order of the spectral norm of the generalized inverse of a Wishart matrix as its dimension and degrees of freedom diverge
