Some conditional expectation identities for the multivariate normal

DOI10.1016/J.JMVA.2010.04.012MaRDI QIDQ990907zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(2)

• Some conditional and unconditional expectation identities for the multivariate normal with non-zero mean
• scientific article; zbMATH DE number 5589312 (Why is no real title available?)

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