Explicit formulae for product moments of multivariate Gaussian random variables

Iickho Song and Seungwon Lee

Statistics & Probability Letters, 2015, vol. 100, issue C, 27-34

Abstract: Explicit formulae for the product moments of multivariate Gaussian random variables are derived. The formulae we have discovered are more compact than other well-known ones and allow us to instantly evaluate any term of the product moments.

Keywords: Jointly Gaussian random variables; Gaussian random vector; Joint moment; Multivariate Gaussian random variables; Product moment (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2015.01.030

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