Higher order moments of multivariate normal distribution using matrix derivatives

DOI10.1080/07362999308809320zbMath0777.60017OpenAlexW1996884246MaRDI QIDQ5289681

Shagufta A. Sultan, Derrick Shannon Tracy

Publication date: 2 September 1993

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999308809320

zbMATH Keywords

characteristic functionrecurrence relationmultivariate normal distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

Related Items (8)

Fourth order tensors and covariance tensors ⋮ Kronecker product permutation matrices and their application to moment matrices of the normal distribution ⋮ Expectations of products of quadratic forms in normal variables ⋮ Moments of wishart distribution ⋮ From moments of sum to moments of product ⋮ Concise formulae for the cumulant matrices of a random vector ⋮ On second-order and fourth-order moments of jointly distributed random matrices: A survey ⋮ K-combined random fields: Basic properties and stochastic orderings

Cites Work

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• The commutation matrix: Some properties and applications
• Some results on commutation matrices, with statistical applications
• A note on expectation of a random quadratic form
• Expectations of products of random quadratic forms
• Moments for matrix normal variables
• Higher order moments of random vectors using matrix derivatives

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