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Abstract
1 Wick’s theorem
X t Σ−1 X
Z !
P (X) exp − dX,
Rn 2
Wick’s theorem (Le Bellac 1991; Etingof 2002) provides a simple formula for
these moments: let us denote by X a Gaussian vector in Rn with zero mean
and covariance matrix Σ; a linear form Li on Rn is identified with the vector
li of its coefficients
Li (X) = lit X.
A pairing σ on the set I2m = {1, . . . , 2m} is a partition of I2m into m disjoint
pairs; the set Π2m of pairings of I2m is composed of 22m!
m m! elements. For example,
We note that Wick’s theorem can be deduced from the Leonov-Shiryaev for-
mula (Leonov Shiryaev 1959), that relates the moments and the cumulants of
a random vector.
An extension of the spherical property is the elliptical property (Fang et al. 1990,
Ch.2): a random vector Y ∈ Rn is elliptical with (n × n) positive definite char-
acteristic matrix Σ if
Y = Σ1/2 X = aΣ1/2 U (1)
where X is spherical. We assume without loss of generality that all vectors
have zero mean.
2m 2m 2m
2m
Y Y Y
E Li (N ) = E rLi (U ) = Er E Li (U )
i=1 i=1 i=1
so that
2m Q2m
Y E i=1Li (N )
E Li (U ) = 2m
.
i=1 Er
√
Since r = N t N is chi-distributed with n degrees of freedom, elementary
algebra yields
m n
2 Γ m + 2
Er2m =
n
. (2)
Γ 2
2
with notation (x)+ = max (x, 0), with parameter m > −1 and where K is a
positive definite matrix.
In this section, we show that the results above allow to recover easily the
following theorem by Folland (Folland 2001) about integration of a monomial
over the sphere Sn .
Theorem 5 If
n
Xiαi
Y
P (X) =
i=1
then
Z 0 if some αi is odd
P (X) dµ =
Sn 2Γ(β1 )...Γ(βn ) else
Γ(β1 +···+βn )
where
αi + 1
βi =
2
and dµ is the surface measure on the sphere Sn .
PROOF. Let us assume first that all αi are even and define the integer
parameter m by 2m = ni=1 αi . Defining α0 = 0, we consider the function
P
Since dµ is the unnormalized surface measure and as the surface of the sphere
n/2
is S (Sn ) = 2π
Γ( n
,
2)
Z 2m
Y
P (X) dµ = S (Sn ) E Li (U )
Sn i=1
References