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Expansions for the multivariate normal

Author

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  • Withers, Christopher S.
  • Nadarajah, Saralees

Abstract

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.

Suggested Citation

  • Withers, Christopher S. & Nadarajah, Saralees, 2010. "Expansions for the multivariate normal," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1311-1316, May.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:5:p:1311-1316
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    References listed on IDEAS

    as
    1. Withers, C. S., 2000. "A simple expression for the multivariate Hermite polynomials," Statistics & Probability Letters, Elsevier, vol. 47(2), pages 165-169, April.
    2. Kotz,Samuel & Nadarajah,Saralees, 2004. "Multivariate T-Distributions and Their Applications," Cambridge Books, Cambridge University Press, number 9780521826549, October.
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    Cited by:

    1. Dueck, Johannes & Edelmann, Dominic & Richards, Donald, 2017. "Distance correlation coefficients for Lancaster distributions," Journal of Multivariate Analysis, Elsevier, vol. 154(C), pages 19-39.

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