Expansions for the multivariate normal

被引：3

作者：

Withers, Christopher S. ^{[2
]}

Nadarajah, Saralees ^{[1
]}

机构：

[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England

[2] Ind Res Ltd, Appl Math Grp, Lower Hutt, New Zealand

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2010年 / 101卷 / 05期

关键词：

Bivariate normal distribution; Multivariate Hermite polynomials; Multivariate normal distribution;

D O I：

10.1016/j.jmva.2010.01.001

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：1311 / 1316

页数：6

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