A Scalarization Technique for Computingthe Power and Exponential Moments of Gaussian Random Matrices
نویسندگان
چکیده
We consider the problems of computing the power and exponential moments EXs and EetX of square Gaussian random matrices X = A+BWC for positive integer s and real t, whereW is a standard normal random vector and A, B, C are appropriately dimensioned constantmatrices.We solve the problems by amatrix product scalarization technique and interpret the solutions in system-theoretic terms. The results of the paper are applicable to Bayesian prediction in multivariate autoregressive time series and mean-reverting diffusion processes.
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