The mean and variance of vec{D'X'AXD + 12(LXB+B'X'Ll) + C}, when vec X has a normal distribution with mean vec M' and variance variance UcE4 V

H Neudecker

No 293078, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: Matrix expressions for the mean and covariance matrix of a general •second degree matrix polynomial are derived by applying the Kronecker product and the commutation matrix.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 10
Date: 1984-10
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293078

DOI: 10.22004/ag.econ.293078

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