Some statistical properties of Hadamard products of random matrices

Heinz Neudecker, Shuangzhe Liu

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)475-487
Number of pages13
JournalStatistical Papers
Volume42
Issue number4
DOIs
Publication statusPublished - 1 Oct 2001

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