An Introduction to Wishart Matrix Moments

Understand

These lecture notes provide a comprehensive, self-contained introduction to the analysis of Wishart matrix moments.

• This study may act as an introduction to some particular aspects of random matrix theory, or as a self-contained exposition of Wishart matrix moments.
• Random matrix theory plays a central role in statistical physics, computational mathematics and engineering sciences, including data assimilation, signal processing, combinatorial optimization, compressed sensing, econometrics and mathematical finance, among numerous others.
• The mathematical foundations of the theory of random matrices lies at the intersection of combinatorics, non-commutative algebra, geometry, multivariate functional and spectral analysis, and of course statistics and probability theory.