#StackBounty: #random-variable #expected-value #wishart-distribution #cholesky-decomposition What is the expectation of the Cholesky fa…

Bounty: 50

Let a $d-text{dimensional}$ Wishart random variable with $nu$ degrees of freedom $Sigma$ be distributed according to $mathcal{W}(Sigma|Sigma_0, nu) propto |Sigma|^frac{nu-d-1}2exp{(-frac12text{tr} Sigma_0^{-1}Sigma)}$.

What is the expected value of $text{chol} Sigma$?

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