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On bilinear forms in normal variables

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Abstract

Bilinear forms in normal variables when the matrices of the forms are rectangular are considered. Explicit expressions for the cumulants, joint cumulants and joint cumulants of bilinear and quadratic forms are given. Necessary and sufficient conditions are established for the independence of two bilinear forms as well as a bilinear and a quadratic form. Special cases are shown to agree with known results.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, McGill University, 805 Sherbrooke Street West, H3A 2K6, Montreal, QC, Canada

    A. M. Mathai

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  1. A. M. Mathai
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Mathai, A.M. On bilinear forms in normal variables. Ann Inst Stat Math 44, 769–779 (1992). https://doi.org/10.1007/BF00053405

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  • DOI: https://doi.org/10.1007/BF00053405

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