Some conditional expectation identities for the multivariate normal

DOI10.1016/J.JMVA.2010.04.012zbMATH Open1201.62068OpenAlexW2046453496MaRDI QIDQ990907FDOQ990907

Christopher S. Withers, Saralees Nadarajah

Publication date: 1 September 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.04.012

zbMATH Keywords

conditional expectationmultivariate normalmultivariate Hermite polynomials

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• A simple expression for the multivariate Hermite polynomials
• Gaussian Hilbert Spaces
• Orthogonality properties of the Hermite and related polynomials
• Some properties of the bivariate normal distribution considered in the form of a contingency table
• Comments on monomiality, ordinary polynomials and associated bi-orthogonal functions
• Expressions for the normal distribution and repeated normal integrals
• Normal moments and Hermite polynomials

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