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Complements and Supplementary Information

In: THE MULTIVARIATE NORMAL DISTRIBUTION Theory and Applications

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  • PHAM-GIA THU

Abstract

The following sections are included:IntroductionBasic Integral TransformsThe Laplace, Fourier, and Mellin transformsThe complex inversion formulaMeijer G-Functions and Fox H-FunctionsDefinitions of Meijer G-functions and Fox H-functionsConvergenceComputationSome Properties of the H-FunctionExample of the Use of Calculus of ResiduesThe Normal Distribution and the G-FunctionSome Central DistributionsUnivariate distributionsMultivariate distributionsMatrix variate distributionsSome Non-central DistributionsUnivariate distributionsNon-central matrix variate distributionsComplex Case for the Normal DistributionOne-dimensional caseVector caseMatrix caseElliptical Contour DistributionRandom Matrix TheoryGaussian ensemblesBulk and EdgesConvergenceConclusionBibliography

Suggested Citation

  • Pham-Gia Thu, 2021. "Complements and Supplementary Information," World Scientific Book Chapters, in: THE MULTIVARIATE NORMAL DISTRIBUTION Theory and Applications, chapter 13, pages 399-435, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811235290_0013
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    Keywords

    Univariate Normal; Multivariate; Random Variable; Random Vector; Random Matrix; Applications: Education; Psychology; Quality Control; Pattern Recognition;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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