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A note on relationships between moments, central moments and cumulants from multivariate distributions

Author

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  • Balakrishnan, N.
  • Johnson, Norman L.
  • Kotz, Samuel

Abstract

In this note, we present some relationships between moments, central moments and cumulants from multivariate distributions. Recently, Smith (1995) presented four simple recursive formulas that translate moments to cumulants and vice versa. Here, we derive similar recursive formulas between the central moments and the cumulants.

Suggested Citation

  • Balakrishnan, N. & Johnson, Norman L. & Kotz, Samuel, 1998. "A note on relationships between moments, central moments and cumulants from multivariate distributions," Statistics & Probability Letters, Elsevier, vol. 39(1), pages 49-54, July.
    • Handle: RePEc:eee:stapro:v:39:y:1998:i:1:p:49-54
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    Cited by:

    1. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).

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