Explicit formulae for product moments of multivariate Gaussian random variables

DOI10.1016/j.spl.2015.01.030zbMath1316.60027OpenAlexW1967688766MaRDI QIDQ2348314

Iickho Song, Seungwon Lee

Publication date: 11 June 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.030

zbMATH Keywords

Gaussian random vectorproduct momentjoint momentjointly Gaussian random variablesmultivariate Gaussian random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (8)

Explicit formulae and implication of the expected values of some nonlinear statistics of tri-variate Gaussian variables ⋮ Some new Gaussian product inequalities ⋮ Expressions for joint moments of elliptical distributions ⋮ Robust multivariate density estimation under Gaussian noise ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ Miscellaneous results related to the Gaussian product inequality conjecture for the joint distribution of traces of Wishart matrices ⋮ The basic reproductive number for disease systems with multiple coupled heterogeneities ⋮ Canonical decomposition of belief functions based on Teugels' representation of the multivariate Bernoulli distribution

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• Moments of Gaussian processes in terms of generalized multidimensional Hermite polynomials (Corresp.)
• Complex Gaussian noise moments

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