Moments and cumulants of the multivariate real and complex Gaussian distributions
نویسنده
چکیده
where r1 + · · · + rm = k and rj ≥ 1. The problem of the moments consists of calculating μr1,...,rm(X) in terms of ξ, C. Until 1988 there was no general formula for any moment of arbitrary order k and for any parameters ξ, C and n. Considering the standardized bivariate normal distribution, Pearson and Young (1918) gave tables up to the 10-order moments, for correlation between the two variables 0,0.05,1. For the same distribution, Kendall and Stuart (1963) gave a recurrence relationship of the 2-order moments. An analytical exact formula for the same problem is given in Johnson et al. (2000, page 261).
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تاریخ انتشار 2002