Some statistical properties of Hadamard products of random matrices

被引：6
作者：
Neudecker, H
Liu, SZ
机构：
[1] Cesaro, Schagen, Netherlands
[2] Univ Amsterdam, Dept Econ, NL-1018 WB Amsterdam, Netherlands
[3] Australian Natl Univ, Sch Math Sci, Canberra, ACT 0200, Australia
来源：
STATISTICAL PAPERS | 2001年 / 42卷 / 04期
关键词：
Linear Algebra; Random Vector; Random Matrice; Random Matrix; Multivariate Statistics;
D O I：
10.1007/s003620100074
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：
The mean of the Hadamard product of two linear combinations of a random matrix is presented in terms of the mean and variance of the random matrix for any distribution. The variance is given for the normal distribution. Further, the means of four Hadamard products of matrix bilinear forms in a normally distributed random matrix are given. Finally, the mean of a quadruple Hadamard product of linear combinations is derived under normality.
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收藏
页码：475 / 487
页数：13
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