The Annals of Mathematical Statistics

Note on the Distribution of a Definite Quadratic Form

James Pachares

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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].

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

First available in Project Euclid: 28 April 2007

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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.

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