[機統] m.g.f問題
X, Z are indep, and Z is standard normal on R^n.
A is an continuous map from R^n to postive semi-definite matrixs
h belong to (0,1)
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then E(e^{<a,√2hA(X) Z>})=E(e^{h<a,A(X)a>})
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ps. 如果這問題，X is constant, 我把√2hA(X) Z 看成是normal，很快可以做出來。
可是X是變數，我變得不太知道怎麼下手。是否有什麼性質或是定理可以使用？
感謝各位大大~
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