Statistical properties of the Hadamard product of random vectors

Heinz Neudecker; Shuangzhe Liu

doi:10.1007/s003620100078

Statistical properties of the Hadamard product of random vectors

Heinz Neudecker^*, Shuangzhe Liu

^*Corresponding author for this work

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

5 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 language	English
Pages (from-to)	529-533
Number of pages	5
Journal	Statistical Papers
Volume	42
Issue number	4
DOIs	https://doi.org/10.1007/s003620100078
Publication status	Published - Oct 2001

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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.",

author = "Heinz Neudecker and Shuangzhe Liu",

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AU - Liu, Shuangzhe

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U2 - 10.1007/s003620100078

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JO - Statistical Papers

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Statistical properties of the Hadamard product of random vectors

Abstract

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