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.
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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