Article ID Journal Published Year Pages File Type
1152222 Statistics & Probability Letters 2012 5 Pages PDF
Abstract

In a recent paper (Michalowicz et al., 2011), Michalowicz et al. provide an extension of the Isserlis theorem to the case of a Rademacher location mixture of a Gaussian vector. This theorem is known to physicists under the name of Wick’s theorem. We generalize here this result to the case of any location mixture of Gaussian vector; we also provide an example of the extension of the Isserlis theorem to a “scale–location” mixture of Gaussian, namely, the dd-dimensional generalized hyperbolic distribution.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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