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

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

Cited in

(10)

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

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