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March 22nd, 2010, 11:49 PM  #1 
Newbie Joined: Mar 2010 Posts: 1 Thanks: 0  Problem with transformation
I have problem involving the 2norm of a Gaussian vector. say, where is the mean vector and the covariance matrix. i can transform this to another Gaussian vector say . now has an identity matrix as covariance matrix, and the distribution of the 2norm has a generalized rayleigh distribution. but the problem i am having is say suppose the original problem is finding the probability of the 2norm of for some constant and probability =====> is the same in both probability statements or has to be transformed? if has to be transformed then how do i transform the in the first probability statement for into another constant for the probability statement of ? i know the closed form pdf of and the cdf as well, but i need to transform by if i have to. any help is deeply appreciated. please cite a reference(s) where i can find help on this problem. thank you. 

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