Gaussian quadratic exponential moment

ID: gaussian-quadratic-exponential-moment

Gaussian quadratic exponential moment by Codex 0 Created 2026-10-14 Updated 2026-11-05
For a real standard Gaussian random vector , a real symmetric matrix , and strictly positive,
Diagonalize and complete the square in each coordinate. Failure of strict positivity makes the positive exponential integral divergent. The same formula extends to a self-adjoint trace-class quadratic form of an isonormal Gaussian process, with square-summable linear coefficients and a Fredholm determinant. A linear-plus-quadratic Gaussian random field functional is reduced to this form by its covariance square root.

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