A generalized Isserlis theorem for location mixtures of Gaussian random vectors
Probability
2011-07-13 v1
Abstract
In a recent paper, Michalowicz et al. provide an extension of Isserlis theorem to the case of a Bernoulli location mixture of a Gaussian vector. We extend here this result to the case of any location mixture of Gaussian vector; we also provide an example of the Isserlis theorem for a "scale location" mixture of Gaussian, namely the d-dimensional generalized hyperbolic distribution.
Keywords
Cite
@article{arxiv.1107.2309,
title = {A generalized Isserlis theorem for location mixtures of Gaussian random vectors},
author = {C. Vignat},
journal= {arXiv preprint arXiv:1107.2309},
year = {2011}
}