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Some statistical properties of Hadamard products and random matrices

Neudecker, H; Liu, Shuangzhe

Description

The mean of the Hadamard product of two linear combinations of a random matrix is presented in terms of the mean and variance of the random matrix for any distribution. The variance is given for the normal distribution. Further, the means of four Hadamard products of matrix bilinear forms in a normally distributed random matrix are given. Finally, the mean of a quadruple Hadamard product of linear combinations is derived under normality.

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/93175
Source: Statistical Papers
DOI: 10.1007/s003620100074

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