Chi distribution
Probability distribution / From Wikipedia, the free encyclopedia
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In probability theory and statistics, the chi distribution is a continuous probability distribution over the non-negative real line. It is the distribution of the positive square root of a sum of squared independent Gaussian random variables. Equivalently, it is the distribution of the Euclidean distance between a multivariate Gaussian random variable and the origin. It is thus related to the chi-squared distribution by describing the distribution of the positive square roots of a variable obeying a chi-squared distribution.
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Probability density function | |||
Cumulative distribution function | |||
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MGF | Complicated (see text) | ||
CF | Complicated (see text) |
If are independent, normally distributed random variables with mean 0 and standard deviation 1, then the statistic
is distributed according to the chi distribution. The chi distribution has one positive integer parameter , which specifies the degrees of freedom (i.e. the number of random variables ).
The most familiar examples are the Rayleigh distribution (chi distribution with two degrees of freedom) and the Maxwell–Boltzmann distribution of the molecular speeds in an ideal gas (chi distribution with three degrees of freedom).