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

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

Review text

Summary: We consider the problems of computing the power and exponential moments \(EX^s\) and \(Ee^{tX}\) of square Gaussian random matrices \(X=A+BWC\) for positive integer \(s\) and real \(t\), where \(W\) is a standard normal random vector and \(A\), \(B\), \(C\) are appropriately dimensioned constant matrices. We solve the problems by a matrix product scalarization technique and interpret the solutions in system-theoretic terms. The results of the paper are applicable to Bayesian prediction in multivariate autoregressive time series and mean-reverting diffusion processes.

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Cites work

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Cited in

(1)

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

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