On the dispersion matrix of a matrix quadratic form connected with the noncentral Wishart distribution

DOI10.1016/0024-3795(85)90057-6MaRDI QIDQ1087274zbMATH OpenOpenAlexFDO

Authors Heinz Neudecker

Publication date 1985

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL http://ageconsearch.umn.edu/record/293021

zbMATH Keywords

dispersion matrixKronecker productmatrix quadratic formnoncentral Wishart distributionvec operator

Mathematics Subject Classification ID

Multilinear algebra, tensor calculus (15A69) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62H99)

Review text

Recently \textit{J. R. Magnus} and the author [Ann. Stat. 7, 381-394 (1979; Zbl 0414.62040)] derived the dispersion matrix of vec X'X, when X' is a \(p\times n\) random matrix \((n>p)\) and vec X' has the distribution \({\mathcal N}_{np}(vec M',I_ n\otimes V)\). This note is concerned with the matrix quadratic form X'AX, where X' is as defined above and A is a nonrandom (not necessarily symmetric) matrix. The dispersion matrix of vec X'AX is then derived by applying results of Magnus and the author (op. cit.) and the author and \textit{T. Wansbeek} [Can. J. Stat. 11, 221- 231 (1983; Zbl 0538.15011)]. This generalizes an earlier result of \textit{M. A. Giguère} and \textit{G. P. H. Styan} [Information theory, statistical decision functions, random processes; Trans. 7th Prague Conf., Vol. B, Prague 1974, 129-139 (1978; Zbl 0406.62033)] which assumes a symmetric A.

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Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3631783 (Why is no real title available?)
• Some results on commutation matrices, with statistical applications
• The commutation matrix: Some properties and applications

Cited in

(14)

• On a further characterization of dispersion matrices based on the properties of regression
• Fourth-order properties of normally distributed random matrices
• The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions
• On second-order and fourth-order moments of jointly distributed random matrices: A survey
• Wishartness and independence of matrix quadratic forms in a normal random matrix
• On the distribution of matrix quadratic forms
• scientific article; zbMATH DE number 3923885 (Why is no real title available?)
• scientific article; zbMATH DE number 3956235 (Why is no real title available?)
• Moments for matrix normal variables
• Estimation of the covariance matrix in multivariate partially linear models
• Moments of wishart distribution
• A brief derivation of necessary and sufficient conditions for a family of matrix quadratic forms to have mutually independent non-central Wishart distributions
• Professor Heinz Neudecker and matrix differential calculus
• Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices

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