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The Covariance Matrix Of Two Matrix Quadratic Forms Connected With The Noncentral Wishart Distribution

Author

Listed:
  • Neudecker, H
  • Wansbeek, Tom

Abstract

In this paper we derive the covariance matrix of the matrix quadratic forms S A := X'AX and S B := X'BX, where X' : pxn is normally distributed with E(X 1) = M' and D(vec X') = U o V (U : nxn and V : pxp positive semidefinite), A and B are general (nonrandom) matrices. As a corollary E(SACSB) is presented, for general (nonrandom) matrices A, B and C. All vectDrsand matrices are real.

Suggested Citation

  • Neudecker, H & Wansbeek, Tom, 1985. "The Covariance Matrix Of Two Matrix Quadratic Forms Connected With The Noncentral Wishart Distribution," University of Amsterdam, Actuarial Science and Econometrics Archive 293024, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293024
    DOI: 10.22004/ag.econ.293024
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