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Gaussian Joint Variable Theorem


The Gaussian joint variable theorem, also called the multivariate theorem, states that given an even number of variates from a normal distribution with means all 0,

 <X_1X_2X_3X_4>=<X_1X_2><X_3X_4>+<X_1X_3><X_2X_4>+<X_1X_4><X_2X_3>,
(1)

etc. Given an odd number of variates,

<X_1>=0
(2)
<X_1X_2X_3>=0,
(3)

etc.


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Cite this as:

Weisstein, Eric W. "Gaussian Joint Variable Theorem." From MathWorld--A Wolfram Web Resource. https://mathworld.wolfram.com/GaussianJointVariableTheorem.html

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