Error Bound for Compound Wishart Matrices
Applications
2014-03-13 v2
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.
Cite
@article{arxiv.1402.5581,
title = {Error Bound for Compound Wishart Matrices},
author = {Ilya Soloveychik},
journal= {arXiv preprint arXiv:1402.5581},
year = {2014}
}