MOMENT GENERATING FUNCTIONS OF QUADRATIC FORMS IN SERIALLY CORRELATED NORMAL VARIABLES
序列相关正态变量二次型的矩母函数
A method used by Kac in the study of Wiener functionals is adapted to the problem of calculating in closed form the joint moment generating functions of linear combinations of quadratic forms (not simultaneously diagonable) in serially correlated normal variables. A class of Gaussian processes is found for which this method is successful. The results are worked out in detail for the special case of the Uhlenbeck-Ornstein process, which includes first order stochastic…