ON THE EXPECTATION OF THE PRODUCT OF 4 MATRIX-VALUED GAUSSIAN RANDOM-VARIABLES

被引：89

作者：

JANSSEN, PHM ^{[1
]}

STOICA, P ^{[1
]}

机构：

[1] INST POLITECN BUCURESTI,FAC AUTOMAT,BUCHAREST,ROMANIA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1988年 / 33卷 / 09期

关键词：

CONTROL SYSTEMS -- Estimation;

D O I：

10.1109/9.1319

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The formula for the expectation of the product of four scalar real Gaussian random variables is generalized to matrix-valued (real or complex) Gaussian random variables. As an application of the extended formula, a simple derivation is presented of the covariance matrix of instrumental variable (IV) estimates of parameters in multivariable regression models.

引用

页码：867 / 870

页数：4

共 13 条

[1]

ANDERSON TW, 1971, STATISTICAL ANAL TIM, pCH8

[2] USEFUL FORMULA FOR MOMENT COMPUTATION OF NORMAL RANDOM VARIABLES WITH NONZERO MEANS [J].

BAR, W ;

DITTRICH, F .

IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1971, AC16 (03) :263-+

[3]

BARTLETT MS, 1978, INTRO STOCHASTIC PRO, pCH9

[4]

BENDAT JS, 1966, MEASUREMENT ANAL RAN, P94

[5] KRONECKER PRODUCTS AND MATRIX CALCULUS IN SYSTEM THEORY [J].

BREWER, JW .

IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS, 1978, 25 (09) :772-781

[6]

Brillinger D. R., 1975, TIME SERIES DATA ANA

[7] STATISTICAL-ANALYSIS BASED ON A CERTAIN MULTIVARIATE COMPLEX GAUSSIAN DISTRIBUTION (AN INTRODUCTION) [J].

GOODMAN, NR .

ANNALS OF MATHEMATICAL STATISTICS, 1963, 34 (01) :152-&

[8]

GOODMAN NR, 1969, MULTIVARIATE ANAL, V2, P351

[9]

PRIESTLEY MB, 1981, SPECTRAL ANAL TIME S, V1, pCH5

[10]

SODERSTROM T, IN PRESS SYSTEM IDEN

← 1 2 →