کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1150391 957929 2010 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Expectation of quadratic forms in normal and nonnormal variables with applications
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Expectation of quadratic forms in normal and nonnormal variables with applications
چکیده انگلیسی

We derive some new results on the expectation of quadratic forms in normal and nonnormal variables. Using a nonstochastic operator, we show that the expectation of the product of an arbitrary number of quadratic forms in noncentral normal variables follows a recurrence formula. This formula includes the existing result for central normal variables as a special case. For nonnormal variables, while the existing results are available only for quadratic forms of limited order (up to 3), we derive analytical results to a higher order 4. We use the nonnormal results to study the effects of nonnormality on the finite sample mean squared error of the OLS estimator in an AR(1) model and the QMLE in an MA(1) model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 5, May 2010, Pages 1193–1205
نویسندگان
, ,