Title of article
Exact distribution of the sum of two correlated chi-square variables and its application
Author/Authors
JOARDER, ANWAR H. King Fahd University of Petroleum and Minerals Dhahran - Department of Mathematics and Statistics, Saudi Arabia , OMAR, M. HAFIDZ King Fahd University of Petroleum and Minerals Dhahran - Department of Mathematics and Statistics, Saudi Arabia
From page
61
To page
81
Abstract
The exact distribution of the sum of two chi-square random variables is known if the variables are independent. We derive the exact distribution of the sum of two correlated chi-square variables when they are correlated through a bivariate chi-square distribution. The distribution is important in estimating the common variance of a bivariate normal population. Some properties of the distribution, namely, the characteristic function, cumulative distribution function, raw moments, mean centered moments, coefficient of skewness and kurtosis are derived. The graph of the density function is also presented.
Keywords
Bivariate chi , square distribution , characteristic function , correlated chi , square variables , cumulative distribution function , sum of correlated chi , square variables.
Journal title
Kuwait Journal of Science
Journal title
Kuwait Journal of Science
Record number
2595247
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