[R] Off topic --- expectations of products of normals.

From: Rolf Turner <rolf_at_math.unb.ca>
Date: Fri 22 Apr 2005 - 08:12:03 EST


This has nothing ***at all*** to do with R; I'm just hoping to pick the brains of the very knowledgeable R community. Please reply to me privately so as not to waste any more bandwidth than I've already wasted.

Let X and Y have a joint bivariate Gaussian distribution. W.l.o.g. let them have mean 0. I need to work out E(X * Y^2) and E(X^2 * Y^2). I mean, I can work these out, with a modicum of effort, but is there anywhere readily accessible, to which I can refer, where the expressions are already written down in comprehensible form?

I had a look in (a fairly elderly edition of) Kendall and Stuart, vol. 1, and found nothing useful. (The results might ***be*** there, but I couldn't see them.)

                        cheers,

				Rolf Turner
				rolf@math.unb.ca

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