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**C. Vignat and S. Bhatnagar
**

Institut Gaspard Monge, Universit´e de Marne la Vall´ee, France

Department of Computer Science and Automation, Indian Institute of Sciences,

Bangalore, India

Abstract

We propose an extension of a result by Repetowicz et al. (Repetowicz 2004) about

Wick’s theorem and its applications: we ﬁrst show that Wick’s theorem can be

extended to the uniform distribution on the sphere and then to the whole class of

elliptical distributions. Then, as a special case, we detail this result for distributions

that are scale mixtures of Gaussians. Finally, we show that these results allow to

recover easily a theorem by Folland (Folland 2001) about integration of polynomials

over the sphere.

Key words: Wick’s theorem, Gaussian scale mixtures, spherical distribution,

uniform distribution on the sphere

1 Wick’s theorem

In quantum ﬁeld theory (Etingof 2002), the determination of the partition

function of some systems involves the computation of integrals of the form

R

n

P (X) exp

−

X

t

Σ

−1

X

2

dX,

Email address: vignat@univ-mlv.fr, shalabh@csa.iisc.ernet.in (C.

Vignat and S. Bhatnagar).

Article published in Electronic Notes in Discrete Mathematics NN (2008) 1–7

where P (X) is a monomial in the components of X ∈ R

n

i.e., in a probabilistic

approach, mixed moments of a Gaussian random vector with covariance matrix

Σ.

Wick’s theorem (Le Bellac 1991; Etingof 2002) provides a simple formula for

these moments: let us denote by X a Gaussian vector in R

n

with zero mean

and covariance matrix Σ; a linear form L

i

on R

n

is identiﬁed with the vector

l

i

of its coeﬃcients

L

i

(X) = l

t

i

X.

A pairing σ on the set I

2m

= {1, . . . , 2m} is a partition of I

2m

into m disjoint

pairs; the set Π

2m

of pairings of I

2m

is composed of

2m!

2

m

m!

elements. For example,

in the case m = 2, there are 3 diﬀerent pairings on I

4

= {1, 2, 3, 4} , namely

σ

1

= {(1, 2) , (3, 4)} , σ

2

= {(1, 3) , (2, 4)} and σ

3

= {(1, 4) , (2, 3)}. We denote

by I

2m

/σ the set of indices i such that σ = {(i, σ (i))} .

Wick’s theorem states as follows.

Theorem 1 Let m be an integer then

E

2m

¸

i=1

L

i

(X) =

¸

σ∈Π

2m

¸

i∈I

2m

/σ

l

t

i

Σl

σ(i)

If 2m is replaced by 2m + 1, then the expectation above equals zero.

As an example, with m = 2 and L

i

(X) = X

i

, we obtain

E [X

1

X

2

X

3

X

4

] = E [X

1

X

2

] E [X

3

X

4

]+E [X

1

X

3

] E [X

2

X

4

]+E [X

1

X

4

] E [X

2

X

3

] .

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.

2 Spherical and Elliptical distributions

In this paper, we extend Wick’s theorem to the class of spherical random

vectors: such a vector X ∈ R

n

is characterized (Fang et al. 1990, Ch.2) by

the fact that its characteristic function ψ (Z) = E exp (iZ

t

X) is invariant by

orthogonal transformation; in other words,

ψ (Z) = φ

Z

t

Z

**for some function φ : R
**

+

→ C. In this case, a stochastic representation of X

writes

X = aU

where U is a random vector uniformly distributed on the unit sphere S

n

=

{X ∈ R

n

; X = 1} and a ∈ R

+

is a positive random variable independent of

U. If moreover vector X admits a probability density function f

X

, then it is

necessarily of the form

f

X

(X) = g

X

t

X

**for some function g : R →R
**

+

.

An extension of the spherical property is the elliptical property (Fang et al. 1990,

Ch.2): a random vector Y ∈ R

n

is elliptical with (n ×n) positive deﬁnite char-

acteristic matrix Σ if

Y = Σ

1/2

X = aΣ

1/2

U (1)

where X is spherical. We assume without loss of generality that all vectors

have zero mean.

3 Wick’s theorem for the uniform distribution on the sphere

Wick’s theorem can be extended to the case of a vector uniformly distributed

on the sphere S

n

as follows.

Theorem 2 If U is uniformly distributed on the sphere S

n

then

E

2m

¸

i=1

L

i

(U) =

Γ

n

2

2

m

Γ

m +

n

2

¸

σ

¸

i∈I

2m

/σ

l

t

i

l

σ(i)

and the expectation equals zero if 2m is replaced by 2m + 1.

PROOF. A stochastic representation for vector U is

U =

N

N

where N is a Gaussian vector with unit covariance matrix. By the polar fac-

torization property, random variable r = N is independent of U; we deduce

from the linearity of L

i

that

E

2m

¸

i=1

L

i

(N) = E

2m

¸

i=1

rL

i

(U) =Er

2m

E

2m

¸

i=1

L

i

(U)

so that

E

2m

¸

i=1

L

i

(U) =

E

¸

2m

i=1

L

i

(N)

Er

2m

.

Since r =

√

N

t

N is chi-distributed with n degrees of freedom, elementary

algebra yields

Er

2m

=

2

m

Γ

m +

n

2

Γ

n

2

. (2)

2

From the linearity of forms L

i

and by stochastic representation (1), we deduce

a version of Wick’s theorem for any elliptical vector as follows.

Theorem 3 If X ∈ R

n

is an elliptical vector with stochastic representation

(1) and if random variable a has moments up to order 2m, then

E

2m

¸

i=1

L

i

(X) =

Ea

2m

Er

2m

¸

σ

¸

i∈I

2m

/σ

l

t

i

Σl

σ(i)

where Er

2m

is given by (2).

4 Wick’s theorem for Gaussian scale mixtures

A random vector X is a Gaussian scale mixture if its probability density

function writes

f

X

(X) =

+∞

0

g (x; aΣ) dH (a)

where g (x; Σ) is the Gaussian distribution with (n ×n) covariance matrix Σ

on R

n

and H is a cumulative distribution function. A stochastic representation

of such a vector is

X =

√

aN (3)

where N is a Gaussian vector with covariance matrix Σ and a is a positive

random variable independent of N with cumulative distribution function H.

Cauchy, alpha-stable and Student-t random vectors belong to the family of

Gaussian scale mixtures.

If X is a Gaussian scale mixture, then it is also elliptical; however, the contrary

is not true, as shown by the Pearson II family of n−variate probability density

functions (Johnson 1987)

f

X

(X) =

Γ

n

2

+ m + 1

Γ(m + 1) |πK|

1/2

1 −X

t

K

−1

X

m

+

with notation (x)

+

= max (x, 0), with parameter m > −1 and where K is a

positive deﬁnite matrix.

Using stochastic representation (3), Wick’s theorem extends to Gaussian scale

mixtures as follows.

Theorem 4 If X is a Gaussian scale mixture as in (3) with Ea

m

< ∞, then

E

2m

¸

i=1

L

i

(X) = Ea

m

¸

σ∈Πm

¸

i∈I

2m

/σ

l

t

i

Σl

σ(i)

We note that Repetowicz et al. (Repetowicz 2004) use Wick’s theorem to

address a more general problem, namely the determination of mixed moments

of linear combinations of i.i.d. Student-t vectors; in this case, random variable

a in (3) is inverse Gamma distributed. The above theorem, although restricted

to mixed moments of a single random vector, holds however for the class of

all Gaussian scale mixtures for which Ea

m

< ∞.

5 Application: a result by Folland

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 S

n

.

Theorem 5 If

P (X) =

n

¸

i=1

X

α

i

i

then

Sn

P (X) dµ =

0 if some α

i

is odd

2Γ(β

1

)...Γ(βn)

Γ(β

1

+···+βn)

else

where

β

i

=

α

i

+ 1

2

and dµ is the surface measure on the sphere S

n

.

PROOF. Let us assume ﬁrst that all α

i

are even and deﬁne the integer

parameter m by 2m =

¸

n

i=1

α

i

. Deﬁning α

0

= 0, we consider the function

T : [1, 2m] → [1, n] such that

T (i) = j if α

1

+· · · + α

j−1

< i ≤ α

1

+· · · + α

j

.

We choose forms L

i

according to l

i

= δ

T(i)

where δ

k

is the k−th column

vector of the n×n identity matrix. Since the scalar product l

t

i

l

σ(i)

equals zero

when T (i) = T (σ (i)) , we consider only the

¸

n

i=1

α

i

!

2

α

i

2

(

α

i

2

)!

pairings for which

T (i) = T (σ (i)) and l

t

i

l

σ(i)

= δ

t

T(i)

δ

T(i)

= 1. Thus, by theorem (2)

E

2m

¸

i=1

L

i

(U) =

Γ

n

2

2

m

Γ

m +

n

2

n

¸

i=1

α

i

!

2

α

i

2

α

i

2

!

=

Γ

n

2

2

m

Γ(

¸

n

i=1

β

i

)

2

¸

n

i=1

β

i

(2π)

n/2

n

¸

i=1

Γ(β

i

) .

Since dµ is the unnormalized surface measure and as the surface of the sphere

is S (S

n

) =

2π

n/2

Γ(

n

2

)

,

Sn

P (X) dµ = S (S

n

) E

2m

¸

i=1

L

i

(U)

which yields the result.

In the case where some α

i

is odd, the integral equals zero since the surface

measure on the sphere is an even function in each of the variables. 2

Acknowledgements

This work was performed during a visit by C. Vignat to S. Bhatnagar to

the Computer Science and Automation Department of the Indian Institute

of Sciences, Bangalore. C.V. thanks S. B. for his nice welcome. The authors

thank the reviewer for his interesting remarks.

References

[Repetowicz 2004] P. Repetowicz and P. Richmond, The Wick theorem

for non-Gaussian distributions and its application for noise ﬁltering of

correlated q−Exponentially distributed random variables, unpublished,

arXiv:math-ph/0411020 v1, Nov 2004

[Etingof 2002] P. Etingof, Lecture Notes, Geometry and

Quantum Field Theory, Fall 2002, MIT Open Course-

ware, http://ocw.mit.edu/OcwWeb/Mathematics/18-

238Fall2002/LectureNotes/index.htm

[Fang et al. 1990] K.-T. Fang, , S. Kotz & K.W. Ng, Symmetric Multivariate

and Related Distributions, Chapman and Hall, London, 1990

[Folland 2001] G. B. Folland, How to Integrate a Polynomial over a Sphere,

The American Mathematical Monthly, Vol. 108-5, May 2001, pp. 446-448

[Leonov Shiryaev 1959] V. P. Leonov and A. N. Shiryaev, On a method of

calculation of semi-invariants, Theor. Prob. Appl., Vol.4, pp.319-329

[Le Bellac 1991] M. Le Bellac, Quantum and Statistical Field Theory, Claren-

don Press, Oxford, 1991

[Johnson 1987] M. E. Johnson, Multivariate Statistical Simulation, Wiley,

New York, 1987.

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