On the mean and dispersion of the Moore-Penrose generalized inverse of a Wishart matrix

Shinpei Imori, Dietrich Von Rosen
2020 The Electronic Journal of Linear Algebra  
The Moore-Penrose inverse of a singular Wishart matrix is studied. When the scale matrix equals the identity matrix the mean and dispersion matrices of the Moore-Penrose inverse are known. When the scale matrix has an arbitrary structure no exact results are available. The article complements the existing literature by deriving upper and lower bounds for the expectation and an upper bound for the dispersion of the Moore-Penrose inverse. The results show that the bounds become large when the
more » ... large when the number of rows (columns) of the Wishart matrix are close to the degrees of freedom of the distribution.
doi:10.13001/ela.2020.5091 fatcat:7guz53e4ina57bjnv7ht6imgli