June 3, 2024Communications in Statistics - Simulation and Computation

A fast algorithm for computing product moments of multivariate normal random variables

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Authors

RKRaymond KanUniversity of Toronto JPJiening PanTianjin University of Finance and Economics

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Implication

Reveals a new identity that accelerates product moment calculation in multivariate normal distributions, suggesting improved efficiency in statistical analysis.

Key Points

The new algorithm significantly accelerates computation of product moments of multivariate normal random variables, enabling faster statistical analysis.
This identity decomposes product moments into a sum of products involving univariate and multivariate moments, enhancing computational efficiency.
Using this method, researchers can compute moments that were previously time-consuming, thereby streamlining statistical processes in various applications across disciplines.

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Kan et al. (2024) studied this question.

synapsesocial.com/papers/68e66840b6db6435875f4337 https://doi.org/10.1080/03610918.2024.2360136

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Implication

Reveals a new identity that accelerates product moment calculation in multivariate normal distributions, suggesting improved efficiency in statistical analysis.

A fast algorithm for computing product moments of multivariate normal random variables

Discussion

Member takes

Implication

Key Points

Cite This Study

A fast algorithm for computing product moments of multivariate normal random variables

Discussion

Member takes

Implication

Key Points

Cite This Study

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