Efficient recursive algorithms for functionals based on higher order derivatives of the multivariate Gaussian density

Abstract

Many developments in Mathematics involve the computation of higher order derivatives of Gaussian density functions. The analysis of univariate Gaussian random variables is a well-established field whereas the analysis of their multivariate counterparts consists of a body of results which are more dispersed. These latter results generally fall into two main categories: theoretical expressions which reveal the deep structure of the problem, or computational algorithms which can mask the connections with closely related problems. In this paper, we unify existing results and develop new results in a framework which is both conceptually cogent and computationally efficient. We focus on the underlying connections between higher order derivatives of Gaussian density functions, the expected value of products of quadratic forms in Gaussian random variables, and -statistics of degree two based on Gaussian density functions. These three sets of results are combined into an analysis of non-parametric data smoothers.