Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices

DOI10.1016/0167-9473(89)90006-6MaRDI QIDQ804124zbMATH OpenOpenAlexFDO

Authors Arjen Merckens, Tom Wansbeek

Publication date 1989

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(89)90006-6

zbMATH Keywords

computational statisticsexpectationnormally distributed random matricesrepeated conditioning

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Software, source code, etc. for problems pertaining to statistics (62-04) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A general formula for the central mixed moments of the multivariate normal distribution
• Fourth-order properties of normally distributed random matrices
• Identification of simultaneous equation models with measurement error: a computerized evaluation
• On the dispersion matrix of a matrix quadratic form connected with the noncentral Wishart distribution
• Some results on commutation matrices, with statistical applications
• The Expectation of Products of Quadratic Forms in Normal Variables
• The commutation matrix: Some properties and applications
• The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions
• The expectation of products of quadratic forms in normal variables: the practice
• The moments of products of quadratic forms in normal variables

Cited in

(3)

• Applied regression analysis bibliography update 1988-89
• On second-order and fourth-order moments of jointly distributed random matrices: A survey
• Computer algebra in probability and statistics

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