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Off topic --- expectations of products of normals.

1 message · Rolf Turner

#
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