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A note on the joint distribution of correlated quadratic forms
Authors:C. G. Khatri
Affiliation:Gujarat University, USA;University of Pittsburgh, PA, U.S.A.;University of North Carolina, Chapel Mill, NC, U.S.A.
Abstract:In the present paper, the authors obtained exact and asymptotic expressions for the joint distribution of correlated quadratic forms when the underlying distribution is a multivariate normal.
Keywords:Characteristic function   distribution function   quadratic forms   Hermite polynomial   Laguerre polynomials   probability density functions   power series expansion
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