A generalized Isserlis theorem for location mixtures of Gaussian random vectors
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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.
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Cites work
- scientific article; zbMATH DE number 3600847 (Why is no real title available?)
- A general Isserlis theorem for mixed-Gaussian random variables
- An extension of Wick's theorem
- From moments of sum to moments of product
- On the Wick theorem for mixtures of centered Gaussian distributions
- The moments of the multivariate normal
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