A reformulation of the criteria for the independence of quadratic functions in normal variables |
| |
Authors: | Jin Zhang Junmei Zhou Fen Jiang |
| |
Affiliation: | School of Mathematics and Statistics, Yunnan University, Kunming, Yunnan, China |
| |
Abstract: | The Craig-Sakamoto theorem establishes a sufficient and necessary condition for the independence of two quadratic forms in normal variates, fascinating many statisticians and mathematicians, who continuously seek for simple and better proofs of the theorem and its extensions. In this article, we present a simple proof of a unified theorem on the independence of linear and quadratic functions in general normal variates. |
| |
Keywords: | Craig-Sakamoto theorem eigenvalues matrices moment generating function |
|
|