Reciprocal moment of a noncentral chi-squared variable

ID: reciprocal-moment-of-a-noncentral-chi-squared-variable

For with , completing the square in its Gaussian representation gives . Integrate the identity and use Tonelli theorem to obtain the displayed reciprocal moment. It is strictly decreasing in , since its positive integrand is strictly decreasing for every . At the integral equals , proving finiteness and the sharp maximum over noncentrality parameters.

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