Some conditional expectation identities for the multivariate normal

被引：1
|
作者：
Withers, Christopher S. [2 ]
Nadarajah, Saralees [1 ]
机构：
[1] Univ Manchester, Sch Math, Manchester M13 9PL, Lancs, England
[2] Ind Res Ltd, Appl Math Grp, Lower Hutt, New Zealand
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2010年 / 101卷 / 09期
关键词：
Conditional expectation; Multivariate Hermite polynomials; Multivariate normal; HERMITE;
D O I：
10.1016/j.jmva.2010.04.012
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We give formulas for the conditional expectations of a product of multivariate Hermite polynomials with multivariate normal arguments. These results are extended to include conditional expectations of a product of linear combination of multivariate normals. A unified approach is given that covers both Hermite and modified Hermite polynomials, as well as polynomials associated with a matrix whose eigenvalues may be both positive and negative. (C) 2010 Elsevier Inc. All rights reserved.
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页码：2250 / 2253
页数：4
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