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Reciprocal moment of a noncentral chi-squared variable (EQ1​=∫0∞​(1+2t)−m/2e−λt/(1+2t)dt)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Probability distribution Chi-squared distribution Noncentral chi-squared distribution
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For Q∼χm2​(λ) with m>2, completing the square in its Gaussian representation gives Ee−tQ=(1+2t)−m/2e−λt/(1+2t). Integrate the identity 1/q=∫0∞​e−tqdt and use Tonelli theorem to obtain the displayed reciprocal moment. It is strictly decreasing in λ≥0, since its positive integrand is strictly decreasing for every t>0. At λ=0 the integral equals 1/(m−2), proving finiteness and the sharp maximum over noncentrality parameters.

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  1. Noncentral chi-squared distribution
  2. Chi-squared distribution
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 Incoming links (2)

  • James–Stein shrinkage toward the sample mean
  • Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 34 / 3 / Solution

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