Higher order moments of multivariate normal distribution using matrix derivatives |
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| Authors: | Derrick S Tracy Shagufta A Sultan |
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| Institution: | Department of Mathematics and Statistics , University of Windsor , Windsors, Ont, N9B 3P4 |
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| Abstract: | A general formula for the central moments of multivariate normal distribution is derived by differentiating its characteristic function using matrix derivatives. An explicit expression for the moments is obtained. Two applications of these results are given. The sixth order moments are arranged in a square matrix using the properties of commutation matrices and vec operators |
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