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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

3 votes
1 answer
110 views

Distribution/moments of transformed normally distributed random vector

Let $\varepsilon \sim N\left ( 0,I_{k} \right )$, consider the following function of $\varepsilon$, $y=\left ( A+B\varepsilon \varepsilon {}'B{}' \right )^{^{\frac{1}{2}}}\varepsilon $, where $A$ is a …
Zhizhan Zen 's user avatar