Cumulants of products of Normally distributed random variables

2015/06/17 by Clarence Kalitsi, Kalitsi, Clarence, Jan Vrbik +1
Computer Science · Decision Sciences · Mathematics · #62E20 #Bayesian Methods and Mixture Models #FOS: Mathematics #Probability and Risk Models #Statistical Methods and Inference #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.1506.05319

openalex publication_date 2015/06/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

To find moments of various estimators related to Autoregressive models of Statistics, one first needs the cumulants of products of two Normally distributed random variables. The purpose of this article is to derive the corresponding formulas, and extend them to products of three or more such variables.

Related

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• The Method of Cumulants for the Normal Approximation
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