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The Distribution of a Linear Combination ofTwo Correlated Chi-Square Variables
oleh: ANWAR H. JOARDER, M. HAFIDZ OMAR, ARJUN K. GUPTA
Format: | Article |
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Diterbitkan: | Universidad Nacional de Colombia 2013-12-01 |
Deskripsi
The distribution of the linear combination of two chi-square variables is known if the variables are independent. In this paper, we derive the distribution of positive linear combination of two chi-square variables when they are correlated through a bivariate chi-square distribution. Some properties of the distribution, namely, the characteristic function, cumulative distribution function, raw moments, mean centered moments, coefficients of skewness and kurtosis are derived. Results match with the independent case when the variables are uncorrelated. The graph of the density function is presented.