A generalized Isserlis theorem for location mixtures of Gaussian random vectors

DOI10.1016/J.SPL.2011.09.008zbMATH Open1241.60011arXiv1107.2309OpenAlexW2093474095MaRDI QIDQ654472FDOQ654472

Authors: Christophe Vignat 

Publication date: 28 December 2011

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

Abstract: In a recent paper, Michalowicz et al. provide an extension of Isserlis theorem to the case of a Bernoulli location mixture of a Gaussian vector. We extend here this result to the case of any location mixture of Gaussian vector; we also provide an example of the Isserlis theorem for a "scale location" mixture of Gaussian, namely the d-dimensional generalized hyperbolic distribution.

Full work available at URL: https://arxiv.org/abs/1107.2309

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zbMATH Keywords

generalized hyperbolic distributionIsserlis theoremnormal-variance mixture

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• From moments of sum to moments of product
• Title not available (Why is that?)
• A general Isserlis theorem for mixed-Gaussian random variables
• An extension of Wick's theorem
• The moments of the multivariate normal
• On the Wick theorem for mixtures of centered Gaussian distributions

Cited In (12)

• Thermal curvature perturbations in thermal inflation
• An extension of Wick's theorem
• An Isserlis' theorem for mixed Gaussian variables: Application to the auto-bispectral density
• Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
• Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Multivariate Hadamard self-similarity: testing fractal connectivity
• Deviance information criterion for latent variable models and misspecified models
• On the Wick theorem for mixtures of centered Gaussian distributions
• Functional delta residuals and applications to simultaneous confidence bands of moment based statistics
• Higher order moments dynamics for some multimode quantum master equations
• Consensus-like algorithms for estimation of Gaussian mixtures over large scale networks

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