Expectations of products of quadratic forms in normal variables

DOI10.1080/07362999608809431MaRDI QIDQ4882955zbMATH OpenOpenAlexWikidataFDO

Authors Björn Holmquist

Publication date 21 October 1996

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999608809431

zbMATH Keywords

quadratic formsmoments and cumulantsquadratic forms in normally distributed variables

Mathematics Subject Classification ID

Distribution theory (60E99)

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Cites work

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• A note on expectation of a random quadratic form
• Expectations of products of random quadratic forms
• Higher order moments of multivariate normal distribution using matrix derivatives
• Higher order moments of random vectors using matrix derivatives
• Moments and cumulants of the multivariate normal distribution
• Probability Content of Regions Under Spherical Normal Distributions, IV: The Distribution of Homogeneous and Non-Homogeneous Quadratic Functions of Normal Variables
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Expectation of Products of Quadratic Forms in Normal Variables
• The Kronecker Matrix Product and Some of its Applications in Econometrics
• The commutation matrix: Some properties and applications
• The direct product permuting matrices
• The expectation of products of quadratic forms in normal variables: the practice
• The moments of products of quadratic forms in normal variables

Cited in

(19)

• Convexity conditions and the Legendre-fenchel transform for the product of finitely many positive definite quadratic forms
• Efficient recursive algorithms for functionals based on higher order derivatives of the multivariate Gaussian density
• scientific article; zbMATH DE number 1944341 (Why is no real title available?)
• On bilinear forms in normal variables
• Expectation of quadratic forms in normal and nonnormal variables with applications
• Mean-square estimation of nonlinear functionals via Kalman filtering
• Expectations of products of random quadratic forms
• Data-driven density derivative estimation, with applications to nonparametric clustering and bump hunting
• From moments of sum to moments of product
• On moments of quadratic forms in non-spherically distributed variables
• Estimation fusion of nonlinear cost functions with application to multisensory Kalman filtering
• On the distribution of the sample autocorrelation coefficients
• Multisensor estimation fusion of nonlinear cost functions in mixed continuous-discrete stochastic systems
• Estimation of nonlinear functions of state vector for linear systems with time-delays and uncertainties
• Spherically symmetric multivariate beta family kernels
• Two-stage algorithm for estimation of nonlinear functions of state vector in linear Gaussian continuous dynamical systems
• Multivariate plug-in bandwidth selection with unconstrained pilot bandwidth matrices
• Estimation of non-integral and integral quadratic functions in linear stochastic differential systems
• On the integral of the squared periodogram

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