Some statistical applications of Faa di Bruno
AbstractThe formula of Faa di Bruno is used to calculate higher order derivatives of a composition of functions. In this paper, we first review the multivariate version due to Constantine and Savits [A multivariate Faa di Bruno formula with applications, Trans. AMS 348 (1996) 503-520]. We next derive some useful recursion formulas. These results are then applied to obtain both explicit expressions and recursive formulas for the multivariate Hermite polynomials and moments associated with a multivariate normal distribution. Finally, an explicit expression is derived for the formal Edgeworth series expansion of the distribution of a normalized sum of iid random variables.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 97 (2006)
Issue (Month): 10 (November)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lorenzo Garlappi & Georgios Skoulakis, 2009. "Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation," Computational Economics, Society for Computational Economics, vol. 33(2), pages 193-207, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.