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The basic fact from calculus that powers the whole discussion is:
The identity with a = 1
is proved by the trick of calculating the square of the
integral in polar coordinates. The general identity follows by change of variable
from x
to
.
This fact generalizes to higher-dimensional integrals. Set v = (v1, ..., vd) and dv = (dv1 ... dvd), and let A be a symmetric d by d matrix.
We use the fact that a symmetric matrix A is diagonalizable: there exists an orthogonal matrix U (so Ut = U-1) such that UAU-1 is the diagonal matrix B whose only nonzero entries are b11, ... , bdd along the diagonal. Then A = U-1BU and vtAv = vt U-1B U v = vtUtB U v = wtB w where w = Uv, using Ut = U-1 and (Uv)t = vtUt. Since U is orthogonal detU = 1 and the change of variable from v to w does not change the integral:
This follows from Proposition 1 by completion of the square in the exponent and a change of variables.
The generalization to d dimensions replaces a with A as before and b with the vector b = (b1, ... , bd)
This is proven exactly like Proposition 2. If we write this integral as Zb then the integral of Proposition 2 is Z0 and this proposition can be rewritten as
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