A scalarization technique for computing the power and exponential moments of Gaussian random matricesстатья
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Дата последнего поиска статьи во внешних источниках: 27 января 2016 г.
Аннотация:We consider the problems of computing the power and exponential moments EX^s and
Eexp(tX) of square Gaussian random matrices X = A+BWC for positive integer s and real t,
where W is a standard normal random vector and A, B, C are appropriately dimensioned
constant matrices. We solve the problems by a matrix 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.