Saralees NADARAJAH, Christopher R S. WİTHER

133168

Some conditional and unconditional expectation identities for the multivariate normal with non-zero mean

We give formulas for the conditional and unconditional expectations of products of multivariate Hermite and modified Hermite polynomials, each with a multivariate normal argument. A unified approach is given that covers both of these polynomials, each associated with a covariance matrix. This extended Hermite polynomial is associated with a matrix which is the difference between two covariance matrices, in other words, with any symmetric matrix. 
Keywords:

Conditional expectation Multivariate Hermite polynomial, Multivariate normal,

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Hacettepe Journal of Mathematics and Statistics-Cover
  • Yayın Aralığı: 6
  • Başlangıç: 2002
  • Yayıncı: Hacettepe Üniversitesi Fen Fakultesi
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