The Expectation of Products of Quadratic Forms in Normal Variables

DOI10.1111/J.1467-9574.1979.TB00664.XMaRDI QIDQ3206142zbMATH OpenOpenAlexFDO

Authors F. J. Henk Don

Publication date 1979

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1979.tb00664.x

zbMATH Keywords

expectationmultivariate normal variablesproducts of quadratic formstraces of matrix products

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Determinants, permanents, traces, other special matrix functions (15A15) Quadratic and bilinear forms, inner products (15A63)

Cited in

(10)

• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• Convexity conditions and the Legendre-fenchel transform for the product of finitely many positive definite quadratic forms
• From moments of sum to moments of product
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices
• On the expectations of equivariant matrix-valued functions of Wishart and inverse Wishart matrices
• Expectations of products of quadratic forms in normal variables
• On second-order and fourth-order moments of jointly distributed random matrices: A survey
• Recurrence formula for expectations of products of quadratic forms
• The expectation of products of quadratic forms in normal variables: the practice

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