On the expectation of the product of four matrix-valued Gaussian random variables

DOI10.1109/9.1319zbMath0651.62046OpenAlexW2032123328MaRDI QIDQ3796558

Peter H. Janssen, Petre Stoica

Publication date: 1988

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://research.tue.nl/nl/publications/on-the-expectation-of-the-product-of-four-matrixvalued-gaussian-random-variables(dd2683ec-b295-4a04-ae87-b9b2cec4ba56).html

zbMATH Keywords

covariance matrixKronecker productsstationary Gaussian processesmultivariate linear regression modelasymptotic properties of estimatorsexpectations of products of random matricesjoint Gaussian distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Identification in stochastic control theory (93E12)

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