Some conditional expectation identities for the multivariate normal

We give formulas for the conditional expectations of a product of multivariate Hermite polynomials with multivariate normal arguments. These results are extended to include conditional expectations of a product of linear combination of multivariate normals. A unified approach is given that covers both Hermite and modified Hermite polynomials, as well as polynomials associated with a matrix whose eigenvalues may be both positive and negative.

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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, 9, p. 2250-2253
Publisher:	Elsevier
Keywords:	Conditional expectation Multivariate Hermite polynomials Multivariate normal

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

Persistent link: https://www.econbiz.de/10008861549