Normal moments and Hermite polynomials

DOI10.1016/J.SPL.2005.03.015MaRDI QIDQ2483896zbMATH OpenOpenAlexFDO

Authors R. Willink

Publication date 1 August 2005

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2005.03.015

zbMATH Keywords

Bivariate normal distributionChebyshev-Hermite polynomialMultivariate Hermite polynomialMultivariate normal distribution

Mathematics Subject Classification ID

Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

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• scientific article; zbMATH DE number 4052785 (Why is no real title available?)
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• On methods of asymptotic approximation for multivariate distributions
• On Multivariate Edgeworth Expansions
• The moments of the multivariate normal

Cited in

(27)

• Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
• Polynomial normal densities generated by Hermite polynomials
• An approximation method for computing the expected value of max-affine expressions
• A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
• A simple expression for the multivariate Hermite polynomials
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
• Explicit formulae for product moments of multivariate Gaussian random variables
• Moment representation of Bernoulli polynomial, Euler polynomial and Gegenbauer polynomials
• Second order exponential differential operator and generalized Hermite polynomials
• Expressions for the normal distribution and repeated normal integrals
• A CLOSED‐FORM EXPRESSION FOR THE PEARSON TYPE IV DISTRIBUTION FUNCTION
• The moments of the multivariate normal
• scientific article; zbMATH DE number 4058659 (Why is no real title available?)
• scientific article; zbMATH DE number 4070035 (Why is no real title available?)
• Exact and approximate approaches to the identification of stochastic MAX-plus-linear systems
• Arbitrariness of models for augmented and coarse data, with emphasis on incomplete data and random effects models
• A reciprocal relation for Hermite polynomials
• On approximations via convolution-defined mixture models
• Moments of Hermite–Gaussian functionals
• An efficient method to simulate diffusion bridges
• Transition density function expansion methods for portfolio optimization
• A fast algorithm for computing product moments of multivariate normal random variables
• Itô-Taylor expansion method of European spread option pricing for multivariate diffusions with jumps
• Estimating Gaussian mixtures using sparse polynomial moment systems
• Structure of Stieltjes classes of moment-equivalent probability laws
• A matrix version of Chernoff inequality
• Some conditional expectation identities for the multivariate normal

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