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.
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页码：1311 / 1316
页数：6
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