A general Isserlis theorem for mixed-Gaussian random variables

J.V. Michalowicz, J.M. Nichols, F. Bucholtz and C.C. Olson

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1233-1240

Abstract: This work generalizes a widely used result derived by L. Isserlis for the expectations of products of jointly Gaussian random variables by extending it to include mixed-Gaussian random variables.

Keywords: Mixed-Gaussian; distribution; Isserlis'; theorem; Wick's; theorem (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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