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On The Dispersion Matrix Of A Matrix Quadratic Form Connected With The Noncentral Wishart Distribution

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  • Neudecker, H.

Abstract

Recently Magnus and Neudecker [3] derived the dispersion matrix of vec X'X, when X' is a pxn random matrix (n>p) and vec X' has the distribution N np (vec M',I n GIV). This note is concerned with the matrix quadratic form X'AX, where X' is as defined above and A is a nonrandom (not necessarily symmetric) matrix. The dispersion matrix of vec X'AX will then be derived by applying results of Magnus and Neudecker [3] and Neudecker and Wansbeek [4]. It will be shown that an earlier partial and special result of Giguere and Styan [2] which assumes a symmetric A agrees with our result.

Suggested Citation

  • Neudecker, H., 1985. "On The Dispersion Matrix Of A Matrix Quadratic Form Connected With The Noncentral Wishart Distribution," University of Amsterdam, Actuarial Science and Econometrics Archive 293021, University of Amsterdam, Faculty of Economics and Business.
    • Handle: RePEc:ags:amstas:293021
    DOI: 10.22004/ag.econ.293021
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    Cited by:

    1. Przystalski, Marcin, 2014. "Estimation of the covariance matrix in multivariate partially linear models," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 380-385.

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