Research Article
Some conditional and unconditional expectation identities for the multivariate normal with non-zero mean
Abstract
We give formulas for the conditional and unconditional expectations of
products of multivariate Hermite and modified Hermite polynomials,
each with a multivariate normal argument. A unified approach is given
that covers both of these polynomials, each associated with a covariance
matrix. This extended Hermite polynomial is associated with a matrix
which is the difference between two covariance matrices, in other words,
with any symmetric matrix.
products of multivariate Hermite and modified Hermite polynomials,
each with a multivariate normal argument. A unified approach is given
that covers both of these polynomials, each associated with a covariance
matrix. This extended Hermite polynomial is associated with a matrix
which is the difference between two covariance matrices, in other words,
with any symmetric matrix.
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Details
| Primary Language | English |
|---|---|
| Journal Section | Research Article |
| Authors | |
| Publication Date | August 1, 2014 |
| Published in Issue | Year 2014 Volume: 43 Issue: 4 |