Let dN(h, C) denote the density of the normal distribution with mean vector h RI k

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Let dN(h, C) denote the density of the normal distribution with mean vector h ∈ RI k and positive definite covariance matrix C. Prove that exp(h, x − 1 2 h, Ch)dN(0, C)(x) is the density of N(Ch, C) evaluated at x.

Hint: Use characteristic functions.

Section 13.5

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Testing Statistical Hypotheses

ISBN: 9781441931788

3rd Edition

Authors: Erich L. Lehmann, Joseph P. Romano

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Question Posted: Nov 02, 2024 05:01 AM

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Let dN(h, C) denote the density of the normal distribution with mean vector h RI k

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