Higher order moments of random vectors using matrix derivatives
作者:
K.G. Jinadasa,
D.S. Tracy,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1986)
卷期:
Volume 4,
issue 4
页码: 399-407
ISSN:0736-2994
年代: 1986
DOI:10.1080/07362998608809100
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
Matrix derivative methods and properties of commutation matrices are used to obtain higher order moments of a random vector from its characteristic function. The method is illustrated on the multivariate normal distribution
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