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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