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I know solution to:

$$\int_{\mathbb{R}^n} e^{x'Ax}\mathrm{d}x=\frac{\pi^{n/2}}{det(A)}$$

Where $$A=I+\sum_{t=1}^Ty_ty_t'$$

But If I have:

$$\int_{\mathbb{R}^n} e^{x'Bx}\mathrm{d}x$$ Where $$B=D^{-1}+\sum_{t=1}^Ty_ty_t'$$And $$D=diag(|x_n|^{1/2})$$ What is the answer?

Suggestion

Can I use the fact:

$$\int_{\mathbb{R}^n} e^{Q(x)}\mathrm{d}x=e^{Q_0}\frac{\pi^{n/2}}{det(A)}$$Where $$Q_0=min_x(Q(x))$$

Since $Q_0=0$, for both cases, thus, the answer should be similar (not sure if this statement is true). And $Q(x)=x'Ax$ or $Q(x)=x'Bx$. $A$ and $B$ both are symmetric positive definite.

Waqas
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  • https://math.stackexchange.com/questions/653159/if-a-is-positive-definite-then-int-mathbbrn-mathrme-langle-ax-x?noredirect=1&lq=1 – StubbornAtom Jan 06 '20 at 13:55

1 Answers1

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If $A$ has an orthogonal base of eigenvectors and every eigenvalue has a positive real part,

$$ \int_{\mathbb{R}^n}\exp\left(-x' A x\right)\,d\mu = \int_{\mathbb{R}^n}\exp\left(-\sum_{k=1}^{n}\lambda_k x_k^2\right)\,d\mu \stackrel{\text{Fubini}}{=}\prod_{k=1}^{n}\sqrt{\frac{\pi}{\lambda_1}}$$ hence the LHS equals $\color{red}{\large\frac{\pi^{n/2}}{\sqrt{\det A}}}$. This holds, for instance, for every symmetric and positive definite matrix. Can you check the involved matrices are symmetric and positive definite? Can you compute their determinants?

Jack D'Aurizio
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