Algebra of random variables

Wick product

In probability theory, the Wick product is a particular way of defining an adjusted product of a set of random variables. In the lowest order product the adjustment corresponds to subtracting off the mean value, to leave a result whose mean is zero. For the higher order products the adjustment involves subtracting off lower order (ordinary) products of the random variables, in a symmetric way, again leaving a result whose mean is zero. The Wick product is a polynomial function of the random variables, their expected values, and expected values of their products. The definition of the Wick product immediately leads to the Wick power of a single random variable and this allows analogues of other functions of random variables to be defined on the basis of replacing the ordinary powers in a power-series expansions by the Wick powers. The Wick powers of commonly-seen random variables can be expressed in terms of special functions such as Bernoulli polynomials or Hermite polynomials. The Wick product is named after physicist Gian-Carlo Wick, cf. Wick's theorem. (Wikipedia).

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