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Statistical properties of the Hadamard product of random vectors

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Date

2001

Authors

Neudecker, H
Liu, Shuangzhe

Journal Title

Journal ISSN

Volume Title

Publisher

Springer

Abstract

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.

Description

Keywords

Citation

URI

http://hdl.handle.net/1885/92652

Collections

ANU Research Publications

Source

Statistical Papers

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1007/s003620100078

Restricted until

2037-12-31

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01_Neudecker_Statistical_properties_of_the_2001.pdf (1.04 MB)

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