Moments of inverses of $(m,n,\beta)$-Laguerre matrices

Abstract

Wishart matrices are one of the fundamental matrix models in multivariate statistics. We consider the classical $(m,n,\beta)$-Laguerre ensemble and give a necessary and sufficient condition for finite moments for the inverse of $(m,n,\beta)$-Laguerre matrices to exist. We extend the result to inverse compound Wishart matrices for the values of $\beta = 1$ and $2$. Our result complements the result by Letac and Massam [6], Matsumoto [7] and Collins et al. [1].