The N-th moment of matrix quadratic form
We 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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Volume (Year): 28 (1996)
Issue (Month): 4 (August)
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- Tracy, Derrick S. & Sultan, Shagufta A., 1993. "Third moment of matrix quadratic form," Statistics & Probability Letters, Elsevier, vol. 16(1), pages 71-76, January.
- Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix : Some properties and applications," Other publications TiSEM d0b1e779-7795-4676-ac98-1, Tilburg University, School of Economics and Management.
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