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On integration in the multivariate normal. (English) Zbl 0622.62069

In integrations in the multivariate normal such as the derivation of marginal and conditional distributions of subvectors, and evaluation of the joint moment generating functions of quadratic forms, we often need to express the expression on the exponential in suitable parts so that one part is retained, and the other part is integrated. The expeditious procedure of working out such decompositions in general is illustrated in this paper.

MSC:

62H99 Multivariate analysis
33B20 Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals)