The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions

DOI10.1016/0024-3795(88)90218-2zbMath0643.62036MaRDI QIDQ1102056

Heinz Neudecker, Michael W. Browne

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0024-3795(88)90218-2

zbMATH Keywords

normality; covariance matrix; cumulant generating function; matrix differentiation; general second degree matrix polynomial

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

26B12: Calculus of vector functions

Related Items

Moments of wishart distribution, Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices, The asymptotic covariance matrix of sample correlation coefficients under general conditions, Fourth-order properties of normally distributed random matrices, The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions, The variance matrix of sample second-order moments in multivariate linear relations, On second-order and fourth-order moments of jointly distributed random matrices: A survey

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