A scalarization technique for computing the power and exponential moments of Gaussian random matrices

DOI10.1155/JAMSA/2006/42542zbMath1110.60011MaRDI QIDQ871347

Igor G. Vladimirov, H. B. Thompson

Publication date: 19 March 2007

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/53093

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Random matrices (algebraic aspects) (15B52) Distribution theory (60E99)

Related Items (1)

Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

Cites Work

• Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
• Fully Bayesian analysis of ARMA time series models
• Computing integrals involving the matrix exponential
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