ON THE TRACE OF A WISHART

Commun Stat Theory Methods. 2018;27(9):2137-2141. doi: 10.1080/03610929808832218. Epub 2007 Jun 27.

Abstract

A derivation based on spectral decomposition allows specifying the characteristic function of the trace of a singular or nonsingular, central or noncentral, true or pseudo-Wishart. The trace equals a weighted sum of noncentral chi-squared random variables and constants. We describe computational methods.

Keywords: central; characteristic function; noncentral; pseudo; singular.