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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Hadamard Product
Random Vector
Statistical property
Gaussian distribution
Linear Combination

Cite this

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title = "Statistical properties of the Hadamard product of random vectors",
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.",
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Statistical properties of the Hadamard product of random vectors. / Neudecker, Heinz; Liu, Shuangzhe.

In: Statistical Papers, Vol. 42, No. 4, 01.10.2001, p. 529-533.

Research output: Contribution to journalArticle

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AU - Neudecker, Heinz

AU - Liu, Shuangzhe

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