Abstract:In this paper, we develop three different methods for computing the expected logarithm of central quadratic forms: a series method, an integral method and a fast (but inexact) set of methods. The approach used for deriving the integral method is novel and can be used for computing the expected logarithm of other random variables. Furthermore, we derive expressions for the Kullback-Leibler (KL) divergence of elliptical gamma distributions and angular central Gaussian distributions, which turn out to be functions dependent on the expected logarithm of a central quadratic form. Through several experimental studies, we compare the performance of these methods.

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