Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices

DOI10.1016/0167-9473(89)90006-6zbMath0726.62025OpenAlexW2086275277MaRDI QIDQ804124

Arjen Merckens, Tom Wansbeek

Publication date: 1989

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(89)90006-6

zbMATH Keywords

expectationcomputational statisticsnormally distributed random matricesrepeated conditioning

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, stochastic differential equations (65C99)

Related Items

Computer algebra in probability and statistics, On second-order and fourth-order moments of jointly distributed random matrices: A survey, Applied regression analysis bibliography update 1988-89

Cites Work

• The commutation matrix: Some properties and applications
• On the dispersion matrix of a matrix quadratic form connected with the noncentral Wishart distribution
• Fourth-order properties of normally distributed random matrices
• The covariance matrix of a general symmetric second degree matrix polynomial under normality assumptions
• The Expectation of Products of Quadratic Forms in Normal Variables
• Some results on commutation matrices, with statistical applications
• A general formula for the central mixed moments of the multivariate normal distribution
• The moments of products of quadratic forms in normal variables
• The expectation of products of quadratic forms in normal variables: the practice
• Identification of simultaneous equation models with measurement error: a computerized evaluation