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:: 6820. Submitted: 2009-05-21. Published: 2010-02-02. |
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Paper: |
R Functions to Symbolically Compute the Central Moments of the Multivariate Normal Distribution
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DOI: |
10.18637/jss.v033.c01
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![]() This work is licensed under the licenses 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. |