THE COVARIANCE MATRIX OF A GENERAL SECOND DEGREE MATRIX POLYNOMIAL UNDER NORMALITY ASSUMPTIONS

M Browne and H Neudecker

No 293081, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: A matrix expression for the covariance matrix of a general second degree matrix polynomial is derived by applying methods of matrix differentiation to the cumulant generating function.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 11
Date: 1984-12
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Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293081

DOI: 10.22004/ag.econ.293081

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