Expansions for the multivariate normal

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• 作者：Christopher S. Withers ; Saralees Nadarajah
• 关键词：Bivariate normal distribution ; Multivariate Hermite polynomials ; Multivariate normal distribution
• 刊名：Journal of Multivariate Analysis
• 出版年：2010
• 出版时间：May 2010
• 年：2010
• 卷：101
• 期：5
• 页码：1311-1316
• 全文大小：396 K

文摘

Mehler gave an expansion for the standard bivariate normal density. Kibble extended it to a multivariate normal density whose covariance is a correlation matrix. We give extensions of these expansions for general covariances.