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Q145Section III (Statistics)145 of 190

Mixed moments of a multivariate normal from derivatives of its characteristic function

Let ϕX(t‾)\phi_X(\underline t) be the characteristic function of X‾∼N3(μ‾,Σ)\underline X\sim N_3(\underline\mu,\Sigma). Then EX1X22X3EX_1X_2^2X_3 is given by:

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