HermiteCov12 {MultiStatM}

Covariance matrix for multivariate T-Hermite polynomials

Description

Computation of the covariance matrix between d-variate T-Hermite polynomials H_N(X_1) and H_N(X_2).

Usage

HermiteCov12(SigX12, N)

Arguments

SigX12

Covariance matrix of the Gaussian vectors X1 and X2 respectively of dimensions d1 and d2

N

Common degree of the multivariate Hermite polynomials

Value

Covariance matrix of H_N(X_1) and H_N(X_2)

References

Gy.Terdik, Multivariate statistical methods - going beyond the linear, Springer 2021. (4.59), (4.66),

See Also

Other Hermite Polynomials: HermiteCoeff(), HermiteN(), HermiteN2X()

Examples

Covmat<-matrix(c(1,0.8,0.8,1),2,2)
Cov_X1_X2 <- HermiteCov12(Covmat,3)