The calculation of multidimensional Hermite polynomials and Gram-Charlier coefficients
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- by S. Berkowitz and F. J. Garner PDF
- Math. Comp. 24 (1970), 537-545 Request permission
Corrigendum: Math. Comp. 25 (1971), 947.
Corrigendum: Math. Comp. 25 (1971), 947.
Abstract:
The paper documents derivations of: (a) a recurrence relation for calculating values of multidimensional Hermite polynomials, (b) a recurrence relation for calculating an approximation to the Gram-Charlier coefficients of the probability density distribution associated with a random process, based on (a), (c) an efficient algorithm to utilize the formulae in (a) and (b).References
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Additional Information
- © Copyright 1970 American Mathematical Society
- Journal: Math. Comp. 24 (1970), 537-545
- MSC: Primary 65.25
- DOI: https://doi.org/10.1090/S0025-5718-1970-0273784-2
- MathSciNet review: 0273784