Recurrence formula for expectations of products of quadratic forms

被引：9

作者：

Ghazal, GA ^{[1
]}

机构：

[1] CAIRO UNIV,INST STAT,ORMAN,GIZA,EGYPT

来源：

STATISTICS & PROBABILITY LETTERS | 1996年 / 27卷 / 02期

关键词：

covariance matrices; expectations; product of quadratic forms; random discriminants; Vandermonde determinants;

D O I：

10.1016/0167-7152(95)00050-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we derive a recurrence formula for evaluating mathematical expectations of X'A(1)XX'A(2)X ... X'A(n)X, where X similar to N-p(0,Phi) and A(j), j = 1, 2, ..., n are (p x p) nonstochastic symmetric matrices. Subsequently, this recurrence formula is applied to some specific problems. Various related results will also be reported.

引用

页码：101 / 109

页数：9

共 19 条

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