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Statistical properties of the Hadamard product of random vectors

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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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Authors and Affiliations

  1. Department of Economics, University of Amsterdam, Roetersstraat 11, 1018, Amsterdam, WB, The Netherlands

    Heinz Neudecker

  2. School of Mathematical Sciences, Australian National University, ACT 0200, Canberra, Australia

    Shuangzhe Liu

Authors
  1. Heinz Neudecker
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  2. Shuangzhe Liu
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Correspondence to Heinz Neudecker or Shuangzhe Liu.

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Neudecker, H., Liu, S. Statistical properties of the Hadamard product of random vectors. Statistical Papers 42, 529–533 (2001). https://doi.org/10.1007/s003620100078

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  • DOI: https://doi.org/10.1007/s003620100078

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