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Recurrence formula for expectations of products of bilinear forms and expectations of bilinear forms and random matrices

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  • Ghazal, G. A.

Abstract

In this paper, we derive a recurrence formula for evaluating mathematical expectations ofwhere Xj for j=1,2,...,2n is px1 random vectors that are jointly normally distributed withand Aj, j=1,2,...,n are pxp nonstochastic matrices. Subsequently, this recurrence formula is used to derive the expectations of products of bilinear forms and random matrices, namely,E(Xi'A1Xj.XrXs') and E(Xi'A1Xj.Xk'A2Xl.XrXs').Further, some related results will also be reported.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:stapro:v:48:y:2000:i:1:p:1-9
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    References listed on IDEAS

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    1. Ghazal, G. A., 1996. "Recurrence formula for expectations of products of quadratic forms," Statistics & Probability Letters, Elsevier, vol. 27(2), pages 101-109, April.
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