Explicit expressions for joint moments of $n$-dimensional elliptical distributions

Baishuai Zuo, Chuancun Yin and Narayanaswamy Balakrishnan

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Abstract: Inspired by Stein's lemma, we derive two expressions for the joint moments of elliptical distributions. We use two different methods to derive $E[X_{1}^{2}f(\mathbf{X})]$ for any measurable function $f$ satisfying some regularity conditions. Then, by applying this result, we obtain new formulae for expectations of product of normally distributed random variables, and also present simplified expressions of $E[X_{1}^{2}f(\mathbf{X})]$ for multivariate Student-$t$, logistic and Laplace distributions.

Date: 2020-07, Revised 2020-08
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