Chen, Baoline; Zadrozny, Peter A. - In: Computational Economics 21 (2003) 1_2, pp. 45-64
The paper obtains two principal results. First, using a new definition of higher-order (2) matrix derivatives, the paper derives a recursion for computing any Gaussian multivariate moment. Second, the paper uses this result in a perturbation method to derive equations for computing the 4th-order...