A scalarization technique for computing the power and exponential moments of Gaussian random matrices

Abstract

We consider the problems of computing the power and exponential moments EXs and EetX of square Gaussian random matrices X = A + B W C for positive integer s and real t, where W is a standard normal random vector and A, B, C are appropriately dimensioned constant matrices. We solve the problems by a matrix product scalarization technique and interpret the solutions in system-theoretic terms. The results of the paper are applicable to Bayesian prediction in multivariate autoregressive time series and mean-reverting diffusion processes.