Extension of second moment analysis to vector-valued and matrix-valued functions
The mean and invariance of \(Z=F(X)\) is characterized by using the first two moments of the elements of X, where F is a transformation between the random matrices X and Z. The techniques employed are matrix calculus and Kronecker algebra. The results can be useful in computational mechanics as for instance, as the author suggests, in stochastic analysis of steady state groundwater flow.
scientific article; zbMATH DE number 4016507