Moments and cumulants of the multivariate normal distribution

DOI10.1080/07362998808809148zbMath0661.62036OpenAlexW2023631060MaRDI QIDQ3810691

Björn Holmquist

Publication date: 1988

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362998808809148

zbMATH Keywords

multivariate normal distributioncentral momentsnon-central momentscumulants of arbitrary order

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probability distributions: general theory (60E05)

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Cites Work

• The commutation matrix: Some properties and applications
• The direct product permuting matrices
• Moments for matrix normal variables
• Higher order moments of random vectors using matrix derivatives

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