Recurrence formula for expectations of products of bilinear forms and expectations of bilinear forms and random matrices

G. A. Ghazal

Statistics & Probability Letters, 2000, vol. 48, issue 1, 1-9

Abstract: In this paper, we derive a recurrence formula for evaluating mathematical expectations ofwhere Xj for j=1,2,...,2n is px1 random vectors that are jointly normally distributed withand Aj, j=1,2,...,n are pxp nonstochastic matrices. Subsequently, this recurrence formula is used to derive the expectations of products of bilinear forms and random matrices, namely,E(Xi'A1Xj.XrXs') and E(Xi'A1Xj.Xk'A2Xl.XrXs').Further, some related results will also be reported.

Keywords: Expectations; Product; of; bilinear; forms; and; random; matrices; Kronecker; products (search for similar items in EconPapers)
Date: 2000
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