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Expectations of products of quadratic forms in normal variables

 

作者: BjÖrn Holmquist,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 1996)
卷期: Volume 14, issue 2  

页码: 149-164

 

ISSN:0736-2994

 

年代: 1996

 

DOI:10.1080/07362999608809431

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

Let x be normally distributedNp(μ∑) where ∑is positive definite and define the quadratic formand productof quadratic forms. We present explicite simple expressions for the raw moments and cumulants, of arbitrary order, of a quadratic formQ(x) in normal variates onRpand of the expectation of a productQkof an arbitrary number of quadratic forms in normally distributed variables

 

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