A New Result on the Distribution of Quadratic Forms
Ruben, Harold
Ann. Math. Statist., Tome 34 (1963) no. 4, p. 1582-1584 / Harvested from Project Euclid
The distribution of the non-homogeneous quadratic form $Q = \sum^n_1 a_i(x_i - b_i)^2$, where the $x_i$ are independent standardized normal variables and the $a_i$ and $b_i$ are real constants with $a_i > 0$, has recently [1] been obtained as an infinite linear combination in scaled central and noncentral $\chi^2$ distribution functions in the form \begin{equation*}\tag{1.1}P\lbrack Q \leqq t\rbrack = \sum^\infty_0 c_j(p) F_{n+2j}(t/p) = \sum^\infty_0 d_j(p) G_{n+2j;k}(t/p).\end{equation*} Here $p$ is an arbitrary positive constant, $F_{n + 2j}(\cdot)$ is the distribution function of $\chi^2$ with $n + 2j$ degrees of freedom and $G_{n + 2j;k}(\cdot)$ is the distribution function of $\chi^2$ with $n + 2j$ degrees of freedom and non-centrality parameter $\kappa = (\sum^n_1 b^2_i)^{\frac{1}{2}}.$ The main purpose of the present paper is to rederive the first of the two expansions in (1.1), for the special case $p \leqq \min_ia_i$ when the expansion is a proper mixture representation, by a simple conditional probability argument which may be of some general interest. At the same time the $c_j(p)$ will be expressed in simpler and more appealing form than in [1]. In essence, the distribution of $Q$ (including that of $\sum^n_1 a_ix^2_i$) is found to be almost a direct consequence of the distribution of the special non-homogeneous form $\sum^n_1 (x_i - b_i)^2$, that is, of non-central $\chi^2$ with $n$ degrees of freedom and non-centrality parameter $(\sum^n_1 b^2_i)^{\frac{1}{2}}.$ Specifically, the distribution of $Q$ can be expressed as a weighted non-central chi-square in the sense that the non-centrality parameter is not fixed but is rather a random variable with a given distribution depending on the $a_i$ and $b_i$.
Publié le : 1963-12-14
Classification: 
@article{1177703890,
     author = {Ruben, Harold},
     title = {A New Result on the Distribution of Quadratic Forms},
     journal = {Ann. Math. Statist.},
     volume = {34},
     number = {4},
     year = {1963},
     pages = { 1582-1584},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177703890}
}
Ruben, Harold. A New Result on the Distribution of Quadratic Forms. Ann. Math. Statist., Tome 34 (1963) no. 4, pp.  1582-1584. http://gdmltest.u-ga.fr/item/1177703890/