The Expectation of Products of Quadratic Forms in Normal Variables

DOI10.1111/J.1467-9574.1979.TB00664.XzbMATH Open0416.62041OpenAlexW2125175944MaRDI QIDQ3206142FDOQ3206142

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)

• Convexity conditions and the Legendre-fenchel transform for the product of finitely many positive definite quadratic forms
• Expectation of quadratic forms in normal and nonnormal variables with applications
• From moments of sum to moments of product
• Recurrence formula for expectations of products of quadratic forms
• Moments of the sampled autocovariances and autocorrelations for a Gaussian white-noise process
• On second-order and fourth-order moments of jointly distributed random matrices: A survey
• The expectation of products of quadratic forms in normal variables: the practice
• 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
• Expectations of products of quadratic forms in normal variables

This page was built for publication: The Expectation of Products of Quadratic Forms in Normal Variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3206142)