On the dispersion matrix of a matrix quadratic form connected with the noncentral Wishart distribution

DOI10.1016/0024-3795(85)90057-6zbMath0611.62053OpenAlexW1989779508MaRDI QIDQ1087274

Heinz Neudecker

Publication date: 1985

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/293021

zbMATH Keywords

Kronecker productdispersion matrixnoncentral Wishart distributionmatrix quadratic formvec operator

Mathematics Subject Classification ID

Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multilinear algebra, tensor calculus (15A69)

Related Items

Fourth-order properties of normally distributed random matrices, The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions, Estimation of the covariance matrix in multivariate partially linear models, Moments of wishart distribution, Moments for matrix normal variables, On second-order and fourth-order moments of jointly distributed random matrices: A survey, Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices

Cites Work

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• The commutation matrix: Some properties and applications
• Some results on commutation matrices, with statistical applications