Explicit formulae for product moments of multivariate Gaussian random variables

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.

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Year of publication:	2015
Authors:	Song, Iickho ; Lee, Seungwon
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 100.2015, C, p. 27-34
Publisher:	Elsevier
Subject:	Jointly Gaussian random variables \| Gaussian random vector \| Joint moment \| Multivariate Gaussian random variables \| Product moment

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

Persistent link: https://www.econbiz.de/10011263174