Let $X \sim \mathcal{W}_p(V,\nu)$ follow a central Wishart distribution with scale matrix $V$ and $\nu$ degrees of freedom. Its p.d.f. is given by: $$ \frac{|\mathbf{X}|^{(\nu-p-1)/2} e^{-\operatorname{tr}(\mathbf{V}^{-1}\mathbf{X})/2}}{2^\frac{\nu p}{2}|{\mathbf V}|^{\nu/2}\Gamma_p(\frac \nu 2)} $$ Its expectation is given by: $$ E[X]=\nu V $$ How do we actually calculate this expected value? What is the general procedure for matrix valued distributions?
How to calculate the expectation of the Wishart distribution?
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1 Answers
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This can be shown with the characteristic function.
If $X$ is a random matrix, its characteristic function is $Z \mapsto E\Bigl[\exp\bigl(\textrm{tr}(iZX)\bigr)\Bigr]$.
The application $Z \mapsto \exp\bigl(\textrm{tr}(iZX)\bigr)$ is differentiable and its differential at $Z_0$ is $\textsf{D}_{Z_0}\phi(Z) = \exp\bigl(\text{tr}(iZ_0X)\bigr)\text{tr}(iZX)$. For $Z_0=0$ (the null matrix), $\textsf{D}_{0}\phi(Z) = \text{tr}(iZX)$, and if $X$ is integrable then $\phi$ is differentiable at $0$ and $\textsf{D}_0\phi(Z) = \text{tr}\bigl(iZE[X]\bigr)$. Conversely, if $\phi$ is differentiable at $0$ then $X$ is integrable and $\textsf{D}_0\phi(Z) = \text{tr}\bigl(iZE[X]\bigr)$
Therefore, if you prove that $\phi$ is differentiable at $0$ and $\textsf{D}_0\phi(Z) = \text{tr}\bigl(iZA\bigr)$ then $E[X]=A$.
The characteristic function of the Wishart distribution $W_p(\nu, \Sigma)$ is $\phi(Z) = \det(I - 2iZ\Sigma)^{-\frac{\nu}{2}}$.
Let's set $V(Z) = I - 2iZ\Sigma$ and $U(Z) = \det\bigl(V(Z)\bigr)$. Then $V$ is differentiable and $\textsf{D}_{Z_0}V(Z) = -2iZ\Sigma$. By Jacobi's formula, $U$ is differentiable and $\textsf{D}_{Z_0}U(Z) = \text{tr}\bigl({V(Z_0)}^\# \textsf{D}_{Z_0}V(Z)\bigr)$ where $M^\#$ denotes the adjugate of a square matrix $M$. For $Z_0=0$, this gives $\textsf{D}_{0}U(Z) = \text{tr}(-2iZ\Sigma)$. Now, $\phi$ is differentiable and $$ \textsf{D}_{Z_0}\phi(Z) = -\frac{\nu}{2}{\det(I - 2iZ_0\Sigma)}^{-\frac{\nu}{2}-1} \textsf{D}_{Z_0}U(Z) $$ and for $Z_0=0$, $$ \textsf{D}_{Z_0}\phi(Z) = -\frac{\nu}{2} \text{tr}(-2iZ\Sigma) = \text{tr}\bigl(iZ(\nu\Sigma)\bigr). $$ That shows that the expectation is $\nu\Sigma$.