The N-th moment of matrix quadratic form
AbstractWe have obtained a formula for vec( [circle times operator]i = 1N Bi). Using this formula and the 2Nth moment of the matrix normal distribution, we obtain the Nth moment of matrix quadratic form. Furthermore, we have obtained the kurtosis of Wishart distribution.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 28 (1996)
Issue (Month): 4 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix: Some properties and applications," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153207, Tilburg University.
- Tracy, Derrick S. & Sultan, Shagufta A., 1993. "Third moment of matrix quadratic form," Statistics & Probability Letters, Elsevier, vol. 16(1), pages 71-76, January.
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