Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Kem Phillips
Title: R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution
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.

Page views:: 7965. Submitted: 2009-05-21. Published: 2010-02-02.
Paper: R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution     Download PDF (Downloads: 6595)
Supplements:
symmoments_1.0.tar.gz: R source package Download (Downloads: 1283; 389KB)
v33c01.R: R example code from the paper Download (Downloads: 1408; 1KB)
DOI: 10.18637/jss.v033.c01

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.