A scalarization technique for computing the power and exponential moments of Gaussian random matrices

DOI10.1155/JAMSA/2006/42542MaRDI QIDQ871347zbMATH OpenFDO

Authors Igor G. Vladimirov, Bevan Thompson

Publication date 19 March 2007

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/53093

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Random matrices (algebraic aspects) (15B52) Distribution theory (60E99)

Recommendations

• Moments of Special Normally Distributed Matrices
• Explicit formulae for product moments of multivariate Gaussian random variables
• On the moments of ratios of quadratic forms in normal random variables
• Estimates for moments of random matrices with Gaussian elements
• An Introduction to Wishart Matrix Moments

Cites work

• scientific article; zbMATH DE number 3711820 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 578421 (Why is no real title available?)
• scientific article; zbMATH DE number 2031025 (Why is no real title available?)
• scientific article; zbMATH DE number 859023 (Why is no real title available?)
• scientific article; zbMATH DE number 3277086 (Why is no real title available?)
• Bayesian forecasting in univariate autoregressive models with normal-gamma prior distribution of unknown parameters
• Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
• Computing integrals involving the matrix exponential
• Fully Bayesian analysis of ARMA time series models

Cited in

(1)

• Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

This page was built for publication: A scalarization technique for computing the power and exponential moments of Gaussian random matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q871347)