An Extension of Plackett’s Differential Equation for the Multivariate Normal Density

DOI10.1137/0608017zbMath0653.62040OpenAlexW1965278443MaRDI QIDQ3799506

Simeon M. Berman

Publication date: 1987

Published in: SIAM Journal on Algebraic Discrete Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0608017

zbMATH Keywords

Gaussian processpartial differential equationpositive definite matrixnonsingular matrixmultivariate normal density

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Matrix equations and identities (15A24) Distribution theory (60E99)

Cites Work

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• Extremes and related properties of random sequences and processes
• Association of normal random variables and Slepian's inequality
• Limit Theorems for the Maximum Term in Stationary Sequences
• A REDUCTION FORMULA FOR NORMAL MULTIVARIATE INTEGRALS

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