The Annals of Mathematical Statistics

Note on the Distribution of a Definite Quadratic Form

James Pachares

Abstract

An expression is derived for the distribution of a definite quadratic form in independent $N(0, 1)$ variates which depends only on the value of the determinant of the form and on the moments of a quadratic form whose matrix is the inverse of the original quadratic form. This expression is an alternating series which converges absolutely and is such that if we stop with any even power of the series we have an upper bound and if we stop with any odd power of the series a lower bound to the cumulative distribution function. The result given in this note seems to be in several ways an improvement over the method given in Robbins [2].

Article information

Source
Ann. Math. Statist., Volume 26, Number 1 (1955), 128-131.

Dates
First available in Project Euclid: 28 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177728601

Digital Object Identifier
doi:10.1214/aoms/1177728601

Mathematical Reviews number (MathSciNet)
MR67416

Zentralblatt MATH identifier
0064.12903

JSTOR
links.jstor.org

Citation

Pachares, James. Note on the Distribution of a Definite Quadratic Form. Ann. Math. Statist. 26 (1955), no. 1, 128--131. doi:10.1214/aoms/1177728601. https://projecteuclid.org/euclid.aoms/1177728601