A generalized Isserlis theorem for location mixtures of Gaussian random vectors

2011/07/12 by Vignat, C. · 1 citation
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1107.2309

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.

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