THE COVARIANCE MATRIX OF TWO MATRIX QUADRATIC FORMS CONNECTED WITH THE NONCENTRAL WISHART DISTRIBUTION

H Neudecker and Tom Wansbeek

No 293024, University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business

Abstract: In this paper we derive the covariance matrix of the matrix quadratic forms S A := X'AX and S B := X'BX, where X' : pxn is normally distributed with E(X 1) = M' and D(vec X') = U o V (U : nxn and V : pxp positive semidefinite), A and B are general (nonrandom) matrices. As a corollary E(SACSB) is presented, for general (nonrandom) matrices A, B and C. All vectDrsand matrices are real.

Keywords: Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 7
Date: 1985
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/293024/files/amsterdam007.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:amstas:293024

DOI: 10.22004/ag.econ.293024

Access Statistics for this paper

More papers in University of Amsterdam, Actuarial Science and Econometrics Archive from University of Amsterdam, Faculty of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().