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On the distribution of quadratic forms in normal random variables |
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| Authors: | W. Y. Tan |
| Abstract: | This paper provides necessary and sufficient conditions for a quadratic form in singular normal random variables to be distributed as a given linear combination of independent noncentral chi-square variables. Using this result, an extension of Cochran's theorem to quadratic forms of noncentral chi-square variables is derived. |
| Keywords: | Noncentral chi-square variable quadratic forms spectral decomposition Cochran's theorem |