2013/12/17 by Elvira Di Nardo · 13 citations
Computer Science · Mathematics · #Advanced Combinatorial Mathematics #Algebra over a field #Algorithm #Applied mathematics #Artificial intelligence #Bayesian Methods and Mixture Models #Computation #Computer science #Convolution (computer science) #Cumulant #Estimator #Mathematical analysis #Mathematics #Matrix (chemical analysis) #Multivariate statistics #Pure mathematics #Random Matrices and Applications #Random matrix #Representation (politics) #Statistics #Symbolic computation #TRACE (psycholinguistics) #Wishart distribution #math.ST #stat.TH
paper · pdf · doi:10.1016/j.jmva.2013.12.001
published in Journal of Multivariate Analysis 125, 121-135 (Elsevier BV) · Journal of Multivariate Analysis (2014)
openalex publication_date 2013/12/17 · arxiv created 2014/07/29 · arxiv updated 2014/07/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
By using a symbolic method, known in the literature as the classical umbral calculus, the trace of a non-central Wishart random matrix is represented as the convolution of the trace of its central component and of a formal variable involving traces of its non-centrality matrix. Thanks to this representation, the moments of this random matrix are proved to be a Sheffer polynomial sequence, allowing us to recover several properties. The multivariate symbolic method generalizes the employment of Sheffer representation and a closed form formula for computing joint moments and cumulants (also normalized) is given. By using this closed form formula and a combinatorial device, known in the literature as necklace, an efficient algorithm for their computations is set up. Applications are given to the computation of permanents as well as to the characterization of inherited estimators of cumulants, which turn useful in dealing with minors of non-central Wishart random matrices. An asymptotic approximation of generalized moments involving free probability is proposed.