Some conditional expectation identities for the multivariate normal

Christopher S. Withers and Saralees Nadarajah

Journal of Multivariate Analysis, 2010, vol. 101, issue 9, 2250-2253

Abstract: We give formulas for the conditional expectations of a product of multivariate Hermite polynomials with multivariate normal arguments. These results are extended to include conditional expectations of a product of linear combination of multivariate normals. A unified approach is given that covers both Hermite and modified Hermite polynomials, as well as polynomials associated with a matrix whose eigenvalues may be both positive and negative.

Keywords: Conditional; expectation; Multivariate; Hermite; polynomials; Multivariate; normal (search for similar items in EconPapers)
Date: 2010
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