Expressions for joint moments of elliptical distributions

DOI10.1016/j.cam.2021.113418zbMath1461.62063arXiv2007.09349OpenAlexW3123559192MaRDI QIDQ2656082

Baishuai Zuo, Narayanaswamy Balakrishnan, Chuan-Cun Yin

Publication date: 10 March 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.09349

zbMATH Keywords

multivariate normal distributionjoint momentsStein's lemmamultivariate elliptical distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05)

Related Items (2)

Multivariate tail covariance risk measure for generalized skew-elliptical distributions ⋮ Tail conditional risk measures for location-scale mixture of elliptical distributions

Cites Work

• A note on Stein's lemma for multivariate elliptical distributions
• Series involving the zeta function and multiple Gamma functions
• Estimation of the mean of a multivariate normal distribution
• Siegel's formula via Stein's identities
• Certain classes of series associated with the Zeta and related functions.
• Stein's lemma for truncated elliptical random vectors
• A multivariate tail covariance measure for elliptical distributions
• Explicit formulae for product moments of multivariate Gaussian random variables
• From moments of sum to moments of product
• Stein's lemma for elliptical random vectors
• On the generalization of Stein's lemma for elliptical class of distributions
• Some expansion formulas for a class of generalized Hurwitz–Lerch Zeta functions
• A general class of multivariate skew-elliptical distributions
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