Given a multivariate normal $X \sim N(\vec{0},\Sigma)$, I would like to calculate the pdf when sampling from the unit ball $(||X||_2=1)$. Specifically what is the value of the normalizing factor $Z$ ie. the integral of the gaussian over the ball.
Integral of a Gaussian distribution over the unit ball
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calculus
probability
statistics
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0*Ball* $\to$ *sphere*. – 2012-12-05