On the expectation of the product of four matrix-valued Gaussian random variables

Janssen P.H.M.; Stoica P.

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On the expectation of the product of four matrix-valued Gaussian random variables

机译：关于四个矩阵值高斯随机变量乘积的期望

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摘要

The formula for the expectation of the product of four scalar real Gaussian random variables is generalized to matrix-valued (real or complex) Gaussian random variables. As an application of the extended formula, a simple derivation is presented of the covariance matrix of instrumental variable estimates of parameters in multivariable regression models.

机译：将四个标量实际高斯随机变量乘积的期望公式推广为矩阵值（实数或复数）高斯随机变量。作为扩展公式的应用，提出了多变量回归模型中参数的工具变量估计值的协方差矩阵的简单推导。

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《IEEE Transactions on Automatic Control》 |1988年第9期|P.867-870|共4页
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Janssen P.H.M.; Stoica P.;
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机译：四个矩阵值高斯随机变量乘积的期望

On the expectation of the product of four matrix-valued Gaussian random variables

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