Stochastic Analysis and Applications · 1986 · 11 citations · 8 references
Spectral TheoryEngineeringHigher Order MomentsRandom VectorMatrix MethodMatrix TheoryRandom MatrixMatrix AnalysisRandom Matrix TheoryMatrix Derivative Methods
Matrix derivative methods and properties of commutation matrices are used to obtain higher order moments of a random vector from its characteristic function. The method is illustrated on the multivariate normal distribution
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