Expansions for the multivariate normal

Mehler gave an expansion for the standard bivariate normal density. Kibble extended it to a multivariate normal density whose covariance is a correlation matrix. We give extensions of these expansions for general covariances.

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Year of publication:	2010
Authors:	Withers, Christopher S. ; Nadarajah, Saralees
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 5, p. 1311-1316
Publisher:	Elsevier
Keywords:	Bivariate normal distribution Multivariate Hermite polynomials Multivariate normal distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008550989