Note on the moment generating function of the multivariate normal distribution

DOI10.18514/MMN.2024.4255MaRDI QIDQ6602606zbMATH OpenFDO

Authors Ken-Ichi Hirose

Publication date 11 September 2024

Published in Miskolc Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.18514/MMN.2024.4255

zbMATH Keywords

Isserlis' theoremmoment generating functionmultivariate normal distributionnormal-lognormal product distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05)

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(2)

• New formulas for moments of the multivariate normal distribution extending Stein’s lemma and Isserlis theorem
• The Gaussian product inequality for equicorrelated variables

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