Description Usage Arguments Details Value Author(s) References Examples
Compute the mean of prod(x)^power when x follows T_dof(mu,sigma) distribution (dof= -1 for multivariate Normal).
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m |
Location parameter |
S |
Scale matrix. For multivariate T with dof>2 the covariance is S*dof/(dof-2). For the multivariate Normal the covariance is S. |
power |
Power that the product is raised to |
dof |
Degrees of freedom of the multivariate T. Set to -1 for the multivariate Normal. |
The calculation is based on the computationally efficient approach by Kan (2008).
Expectation of the above-mentioned product
John Cook
Kan R. From moments of sum to moments of product. Journal of Multivariate Analysis 99 (2008), 542-554.
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