ON THE DISPERSION MATRIX OF A MATRIX QUADRATIC FORM CONNECTED WITH THE NONCENTRAL WISHART DISTRIBUTION

H. Neudecker

No 293021, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: Recently Magnus and Neudecker [3] derived the dispersion matrix of vec X'X, when X' is a pxn random matrix (n>p) and vec X' has the distribution N np (vec M',I n GIV). This note is concerned with the matrix quadratic form X'AX, where X' is as defined above and A is a nonrandom (not necessarily symmetric) matrix. The dispersion matrix of vec X'AX will then be derived by applying results of Magnus and Neudecker [3] and Neudecker and Wansbeek [4]. It will be shown that an earlier partial and special result of Giguere and Styan [2] which assumes a symmetric A agrees with our result.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 8
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293021

DOI: 10.22004/ag.econ.293021

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