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In this article, we study lower and upper triangular factorizations of the complex Wishart matrix. Further, using these factorizations, we obtain several expected values of scalar and matrix valued functions of the complex Wishart matrix. We also generalize Muirhead’s identity for the complex case which gives a number of interesting special cases.
Acta Applicandae Mathematicae – Springer Journals
Published: Jan 19, 2011
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