Recurrence formula for expectations of products of quadratic forms
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- Rasmus Søndergaard Pedersen & Anders Rahbek, 2012. "Multivariate Variance Targeting in the BEKK-GARCH Model," Discussion Papers 12-23, University of Copenhagen. Department of Economics.
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- Robinson, Peter M. & Rossi, Francesca, 2014. "Improved Lagrange multiplier tests in spatial autoregressions," LSE Research Online Documents on Economics 56049, London School of Economics and Political Science, LSE Library.
- Ghazal, G. A., 2000. "Recurrence formula for expectations of products of bilinear forms and expectations of bilinear forms and random matrices," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 1-9, May.
- Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.
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- Patrick Marsh, "undated". "Some Geometry for the Maximal Invariant in Linear Regression," Discussion Papers 04/07, Department of Economics, University of York.
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Keywords
Covariance matrices Expectations Product of quadratic forms Random discriminants Vandermonde determinants;Statistics
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