Message-ID: <200504212212.j3LMC3O0024641@erdos.math.unb.ca>
Date: 2005-04-21T22:12:03Z
From: Rolf Turner
Subject: Off topic --- expectations of products of normals.
This has nothing ***at all*** to do with R; I'm just hoping to pick
the brains of the very knowledgeable R community. Please reply to me
privately so as not to waste any more bandwidth than I've already
wasted.
Let X and Y have a joint bivariate Gaussian distribution. W.l.o.g.
let them have mean 0. I need to work out E(X * Y^2) and E(X^2 *
Y^2). I mean, I can work these out, with a modicum of effort, but is
there anywhere readily accessible, to which I can refer, where the
expressions are already written down in comprehensible form?
I had a look in (a fairly elderly edition of) Kendall and Stuart,
vol. 1, and found nothing useful. (The results might ***be***
there, but I couldn't see them.)
cheers,
Rolf Turner
rolf at math.unb.ca