Recurrence formula for expectations of products of quadratic forms

G. A. Ghazal

Statistics & Probability Letters, 1996, vol. 27, issue 2, 101-109

Abstract: In this paper, we derive a recurrence formula for evaluating mathematical expectations of X'A1XX'A2X...X'AnX where X ~ Np(0, [Phi]) and Aj, J = 1, 2, ..., n are (p x p) nonstochastic symmetric matrices. Subsequently, this recurrence formula is applied to some specific problems. Various related results will also be reported.

Keywords: Covariance; matrices; Expectations; Product; of; quadratic; forms; Random; discriminants; Vandermonde; determinants (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (9)

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