Some statistical properties of Hadamard products of random matrices

Heinz Neudecker; Shuangzhe Liu

doi:10.1007/s003620100074

Some statistical properties of Hadamard products of random matrices

Heinz Neudecker
, Shuangzhe Liu

Information Systems

Research output: Contribution to journal › Article › peer-review

8 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 language	English
Pages (from-to)	475-487
Number of pages	13
Journal	Statistical Papers
Volume	42
Issue number	4
DOIs	https://doi.org/10.1007/s003620100074
Publication status	Published - 1 Oct 2001

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title = "Some statistical properties of Hadamard products of random matrices",

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.",

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AB - 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.

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SN - 0932-5026

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JO - Statistical Papers

JF - Statistical Papers

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Some statistical properties of Hadamard products of random matrices

Abstract

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