Useful formula for moment computation of normal random variables with nonzero means

1 June 1971

journal article
Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control

Vol. 16 (3) , 263-265
https://doi.org/10.1109/tac.1971.1099712

Abstract

It is well known that higher order moments of normal random variables (RV) with zero means can be expressed by terms of second-order moments. In this correspondence an extension will be given for moments of normal RV with nonzero means.

Keywords

RANDOM VARIABLES
FILTERS
COVARIANCE MATRIX
STATE ESTIMATION
STOCHASTIC PROCESSES
DENSITY FUNCTIONAL THEORY
REACTIVE POWER
COMPUTATIONAL MODELING
INSPECTION
STOCHASTIC SYSTEMS