The dispersion matrix of vec X'AX, A'=A, when X'X is a Wishart matrix
Heinz Neudecker, Neudecker, H. · RePEc: Research Papers in Economics · 1985
Recently Magnus and Neudecker [3] presented the dispersion matrix of vec X'X, when X'X is a Wishart matrix.This note is concerned with the matrix quadratic form X'AX, A' = A, where X'X is a Wishart matrix.It is not necessary to require A to be idempotent.Cf.Kshirsagar [2, p. 76].The dispersion matrix of vec X'AX will then be derived by applying some earlier results of Magnus and Neudecker [3] and Neudecker and Wansbeek [4]. 1.