Moments and other expected values for matrix variate elliptically contoured distribution,

Arjun K. Gupta; T. Varga

doi:10.6092/issn.1973-2201/1022

Moments and other expected values for matrix variate elliptically contoured distribution,

Authors

Arjun K. Gupta Bowling Green State University, Ohio
T. Varga AB-AEGON General Insurance Company, Budapest

DOI:

https://doi.org/10.6092/issn.1973-2201/1022

Abstract

In this paper, moments and other expected values of functions of matrix variate elliptically contoured distribution are studied. A relationship is pointed out between the expected values for the normal case and the general elliptical case. Expected values of concrete functions are derived. An example is given when the underlying distribution is Student's t-distribution.

How to Cite

Gupta, A. K., & Varga, T. (1994). Moments and other expected values for matrix variate elliptically contoured distribution,. Statistica, 54(3), 361–373. https://doi.org/10.6092/issn.1973-2201/1022