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Journal Articles Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie Year : 2014

Two properties of vectors of quadratic forms in Gaussian random variables

Abstract

We study distributions of random vectors whose components are second order polynomials in Gaussian random variables. Assuming that the law of such a vector is not absolutely continuous with respect to Lebesgue measure, we derive some interesting consequences. Our second result gives a characterization of limits in law for sequences of such vectors.
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hal-00826022 , version 1 (25-05-2013)

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Vladimir I. Bogachev, Egor D. Kosov, Ivan Nourdin, Guillaume Poly. Two properties of vectors of quadratic forms in Gaussian random variables. Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie, 2014, 59 (2), pp.208-221. ⟨10.1137/S0040585X97T987041⟩. ⟨hal-00826022⟩
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