Let X be a normal random variable with mean vector r and covariance matrix r,s.
Question:
Let X be a normal random variable with mean vector λ
r and covariance matrix λ
r,s. Define h
r = h r (x; λ), h rs (x; λ),…
to be the Hermite tensors based on the same normal distribution, i.e., and so on as in (5.7). Show that the random variables h
r (X), h rs (X), h rst (X),…
have zero mean and are uncorrelated.
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Related Book For
Tensor Methods In Statistics Monographs On Statistics And Applied Probability
ISBN: 9781315898018
1st Edition
Authors: Peter McCullagh
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