On second-order and fourth-order moments of jointly distributed random matrices: a survey

AbstractThe study is concerned with second-order and fourth-order moments of jointly distributed random matrices. When distributional properties are required, normality is adopted. Some of the results can also be applied to elliptical or Wishart distributions. The developments are entirely algebraic. Full use is made of the Kronecker product, (repeated) vectorization, commutation matrices and related items. There are a few references in the main text but many additional references to other work, in which the same or kindred results (obtained by other methods, procedures or concepts) can be found, have been included in the References