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Let $Y = (Y_1, Y_2) \sim N(0, 11^T + I)$, be a bivariate normal random variable with non-isotropic covariance. Define $y = (y_1, y_2)$ and let \begin{align} F_{\delta}(y) = \Pr[Y_1 > y_1 - \delta, ...

In the proof for finding an analytic solution to the propagation of a Hermite-Gaussian beam though a paraxial system given in the paper "The elliptical Hermite–Gaussian beam and its propagation ...

In the context of evaluating the propagation of a flattened Gaussian beam, the following integral appears: \begin{equation} \int (\mathbf x^T \mathbf F \mathbf x)^n \exp \left [ - \mathbf x^T \mathbf ...

I have a vector $\mathbf{x}$ with a multivariate Gaussian distribution $$P[\textbf{x}\in S] =\int_{\textbf{x}\in S} \det(2\pi H^{-1})^{-1/2}\exp(-\frac{1}{2} \textbf{x}^T H\textbf{x}) \, d\textbf{x}$$...