Recurrence formula for expectations of products of quadratic forms
In this paper, we derive a recurrence formula for evaluating mathematical expectations of X'A1XX'A2X...X'AnX where X ~ Np(0, [Phi]) and Aj, J = 1, 2, ..., n are (p x p) nonstochastic symmetric matrices. Subsequently, this recurrence formula is applied to some specific problems. Various related results will also be reported.
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Volume (Year): 27 (1996)
Issue (Month): 2 (April)
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