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A Gamma envelope and sharp moment inequalities for Gaussian quadratic forms

Pang, Zhekai
arXiv (All) · Papers
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probabilitystatistics-theory
We study extremal absolute central moments of Gaussian quadratic forms under a fixed Frobenius norm. For a nonzero real symmetric matrix $M$ and $G\sim N(0,I_n)$, we construct an explicit centered difference of Gamma variables with the same mean, variance, and third centered moment as $G^{\mathsf T}
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