IDEAS home Printed from https://ideas.repec.org/a/jss/jstsof/v033c01.html
   My bibliography  Save this article

R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution

Author

Listed:
  • Phillips, Kem

Abstract

The central moments of the multivariate normal distribution are functions of its n x n variance-covariance matrix Σ. These moments can be expressed symbolically as linear combinations of products of powers of the elements of Σ. A formula for these moments derived by differentiating the characteristic function is developed. The formula requires searching integer matrices for matrices whose n successive row and column sums equal the n exponents of the moment. This formula is implemented in R, with R functions to display moments in LaTeX and to evaluate moments at specified variance-covariance matrices included.

Suggested Citation

  • Phillips, Kem, 2010. "R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 33(c01).
  • Handle: RePEc:jss:jstsof:v:033:c01
    DOI: http://hdl.handle.net/10.18637/jss.v033.c01
    as

    Download full text from publisher

    File URL: https://www.jstatsoft.org/index.php/jss/article/view/v033c01/v33c01.pdf
    Download Restriction: no

    File URL: https://www.jstatsoft.org/index.php/jss/article/downloadSuppFile/v033c01/symmoments_1.0.tar.gz
    Download Restriction: no

    File URL: https://www.jstatsoft.org/index.php/jss/article/downloadSuppFile/v033c01/v33c01.R
    Download Restriction: no

    File URL: https://libkey.io/http://hdl.handle.net/10.18637/jss.v033.c01?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Kuonen, Diego, 2003. "Numerical Integration in S-PLUS or R: A Survey," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 8(i13).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yu, Haiyan & Yang, Ching-Chi & Yu, Ping, 2023. "Constrained optimization for stratified treatment rules in reducing hospital readmission rates of diabetic patients," European Journal of Operational Research, Elsevier, vol. 308(3), pages 1355-1364.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Benjamin R. Saville & Amy H. Herring, 2009. "Testing Random Effects in the Linear Mixed Model Using Approximate Bayes Factors," Biometrics, The International Biometric Society, vol. 65(2), pages 369-376, June.
    2. repec:jss:jstsof:33:c01 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:v:033:c01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.jstatsoft.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.