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Multivariate quadratic forms of random vectors

✍ Scribed by René Blacher

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
324 KB
Volume
87
Category
Article
ISSN
0047-259X

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✦ Synopsis

We obtain the distribution of the sum of n random vectors and the distribution of their quadratic forms: their densities are expanded in series of Hermite and Laguerre polynomials. We do not suppose that these vectors are independent. In particular, we apply these results to multivariate quadratic forms of Gaussian vectors. We obtain also their densities expanded in Mac Laurin series or in the form of an integral. By this last result, we introduce a new method of computation which can be much simpler than the previously known techniques. In particular, we introduce a new method in the very classical univariate case. We remark that we do not assume the independence of normal variables.

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