Title :
On the expectation of the product of four matrix-valued Gaussian random variables
Author :
Janssen, Peter H M ; Stoica, Petre
Author_Institution :
Dept. of Electr. Eng., Eindhoven Univ. of Technol., Netherlands
fDate :
9/1/1988 12:00:00 AM
Abstract :
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
Keywords :
matrix algebra; parameter estimation; random processes; covariance matrix; instrumental variable estimates; matrix algebra; matrix-valued Gaussian random variables; multivariable regression models; parameter estimation; random processes; Estimation theory; Filtering; Gaussian noise; Noise measurement; Noise robustness; Parameter estimation; Random variables; State estimation; Uncertainty; Upper bound;
Journal_Title :
Automatic Control, IEEE Transactions on
