All Questions

Suppose random vectors $y_1,y_2,\ldots,y_m$ are independent and the distribution of each $y_i$ is a $d$-dimensional complex Gaussian with mean $0$ and covariance $\Gamma_i$, that is $y_i \sim \mathcal{...

If $Z_i$ are standard normal, possibly dependent, one can show that $$E\left[\max_{i=1,...,M} Z_i^2\right]\leq 3\ln M + 1.$$ I'm looking for a similar (asymptotic) bound for asymptotically normal ...

Do known expressions exist for the moments of a gaussian-wishart (aka normal wishart) distribution? $$NW(\mu,K\mid\mu_0,\lambda_0, v, W) = \frac{|\lambda_0K|^{1/2}}{(2\pi)^{d/2}}e^{-0.5([\mu - \mu_0]...