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arXiv · 1402.5581

Error Bound for Compound Wishart Matrices

Ilya Soloveychik
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Abstract

In this paper we consider non-asymptotic behavior of the real compound Wishart matrices that generalize the classical real Wishart distribution. In particular, we consider matrices of the form 1/nXBX', where X consists of real centered Gaussian elements and B is an arbitrary real matrix and sequences of such matrices for varying n. We show how the expectation of deviations from the mean can be bounded for compound Wishart matrices.

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Ilya Soloveychik. 2014-03-12. Error Bound for Compound Wishart Matrices. https://arxiv.org/abs/1402.5581

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