Cumulants of products of Normally distributed random variables
Clarence Kalitsi, Jan Vrbik
TL;DR
This paper derives formulas for cumulants of products of normally distributed variables, extending existing results to products of three or more variables, aiding in statistical analysis of autoregressive models.
Contribution
It provides new formulas for cumulants of products of multiple normal variables, extending previous work to higher-order products.
Findings
Derived formulas for cumulants of products of two normal variables
Extended formulas to products of three or more variables
Facilitates computation of moments in autoregressive models
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.
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Taxonomy
TopicsBayesian Methods and Mixture Models · Statistical Methods and Inference · Probability and Risk Models