8.1 Let Y Nn(????, ) follow a multivariate normal distribution and set Xi = exp(Yi ),...
Question:
8.1 Let Y ∼ Nn(????, Σ) follow a multivariate normal distribution and set Xi =
exp(Yi
), i = 1, ..., n. The purpose of this exercise is to find the moments of X. They are most easily calculated using the moment generating function for Y M(u) = E
{
exp (
uTY
)} = exp (
uT???? +
1 2
uTΣu
)
as a function of u = (u1, ..., un)
T.
Let ei denote an n-vector with a one in the ith place and zeros elsewhere.
Show that E(Xi
) = M(ei
) and E(Xi Xj
) = M(ei + ej
), i, j = 1, ..., n, and hence verify the moments in (8.1)–(8.2).
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