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Statistical properties of the Hadamard product of random vectors

Neudecker, H; Liu, Shuangzhe

Description

The variance of the Hadamard product of two linear combinations of a random vector is presented in terms of the mean and the variance of the random vector when a normal distribution is assumed. The mean and variance of the Hadamard product are further given for any distribution.

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/92652
Source: Statistical Papers
DOI: 10.1007/s003620100078

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