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Multivariate probability distribution

  1. Aug 10, 2014 #1
    "In multivariate probability distribution higher-order cumulants contain information of decreasing significance, unlike higher-order moments".
     
  2. jcsd
  3. Aug 10, 2014 #2

    jedishrfu

    Staff: Mentor

    Can you provide more detail? is this for a course? did you read it in some book? what is the context of your question?
     
  4. Aug 10, 2014 #3

    statdad

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    Homework Helper

    For normal distributions cumulants above those of second order vanish, which pretty much means they don't contribute much information.
     
    Last edited: Aug 10, 2014
  5. Aug 10, 2014 #4
    In multivariate probability distribution the first two cumulants are the means and covariances.Higher-order cumulants contain information of decreasing significance, unlike higher-order moments.We cannot set all moments higher than a certain order equal to zero since E(X^2n)>=E(X^n)^2 and thus,all moments contain information about
    the lower moments.
     
  6. Aug 11, 2014 #5

    statdad

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    Again - for normal distributions, cumulants of order higher than two are zero: it isn't decreasing significance, it is no significance.
     
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