Densities of distributions of homogeneous functions of Gaussian random vectors (Q2243811): Difference between revisions

Suppose \(\mu\) is a probability measure on a linear space \(X\). A measurable function \(f\) on \(X\) is said to be positively homogeneous of order \(\alpha >0\) if \(f(tx)= t^\alpha f(x)\) for all \(x \in X\) and \(t>0.\) Examples of homogeneous functions are norms, quadratic forms and maxima of several quadratic forms. The authors provide sufficient conditions for the boundedness of the probability densities of homogeneous functions on spaces with Gaussian measures. Bounds for the probability density of maxima of quadratic forms are obtained. Theorems are stated but proofs will be published elsewhere according to the authors.