Statistical properties of the Hadamard product of random vectors

Heinz Neudecker, Shuangzhe Liu

Research output: Contribution to journalArticle

3 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)529-533
Number of pages5
JournalStatistical Papers
Volume42
Issue number4
DOIs
Publication statusPublished - 1 Oct 2001

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