Statistical properties of the Hadamard product of random vectors |
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| Authors: | Heinz Neudecker Shuangzhe Liu |
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| Institution: | (3) Univ. Namur, Namur, Belgium;(4) Northwestern Univ., Evanston, Illinois, USA |
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| Abstract: | The variance of the Hadamard product of two linear combinations of a random vector is presented in terms of the mean and the variance of the random vector when a normal distribution is assumed. The mean and variance of the Hadamard product are further given for any distribution. |
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