2
$\begingroup$

How would I go about solving:

$$\mathbb{E} \left[\varepsilon_t \exp\left\{-\frac{1}{2} \Lambda' \Lambda - \Lambda'\varepsilon_t\right\}\right]$$

where $\varepsilon_t \sim N(\vec{0},\mathbb{I}_n)$, and $\Lambda$ is an $(n \times 1)$ vector of constants.

I know I will need to use Jensen's inequality, but am unsure how to group the premultiplied $\varepsilon_t$.

Thanks.

  • 0
    Something is wrong - in the exponent, the first term is a matrix and the second is a vector - how are you subtracting one from the other?2017-01-18
  • 0
    Sorry, $\Lambda$ is $(n \times 1)$2017-01-18

0 Answers 0