Expectations of products of quadratic forms in normal variables

被引:18
作者
Holmquist, B [1 ]
机构
[1] LUND UNIV,DEPT MATH STAT,S-22100 LUND,SWEDEN
关键词
D O I
10.1080/07362999608809431
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
Let x be normally distributed N-p(mu, Sigma) where Sigma is positive definite and define the quadratic form Q(x) = x(T)Ax and product Q(k) = Pi(i=1)(k)x(T)A(i)x of quadratic forms. We present explicite simple expressions for the raw moments and cumulants, of arbitrary order, of a quadratic form Q(x) in normal variates on R(p) and of the expectation of a product Q(k) Of an arbitrary number of quadratic forms in normally distributed variables.
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页码:149 / 164
页数:16
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