Higher order moments of random vectors using matrix derivatives

DOI10.1080/07362998608809100zbMath0615.60014OpenAlexW2072884331MaRDI QIDQ4722917

K. G. Jinadasa, Derrick Shannon Tracy

Publication date: 1986

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998608809100

zbMATH Keywords

characteristic functiontensor productsmatrix differentiation

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05)

Related Items

Higher order moments of multivariate normal distribution using matrix derivatives ⋮ Expectations of products of quadratic forms in normal variables ⋮ Moments of wishart distribution ⋮ Moments and cumulants of the multivariate normal distribution ⋮ From moments of sum to moments of product ⋮ Concise formulae for the cumulant matrices of a random vector ⋮ On second-order and fourth-order moments of jointly distributed random matrices: A survey

Cites Work

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• On some pattern-reduction matrices which appear in statistics
• Some results on commutation matrices, with statistical applications
• A note on expectation of a random quadratic form
• Expectations of products of random quadratic forms
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products