In probability theory and statistics, the noncentral chi-squared distribution (or noncentral chi-square distribution, noncentral distribution) is a noncentral generalization of the chi-squared distribution. It often arises in the power analysis of statistical tests in which the null distribution is (perhaps asymptotically) a chi-squared distribution; important examples of such tests are the likelihood-ratio tests.
Let be k independent, normally distributed random variables with means and unit variances. Then the random variable
is distributed according to the noncentral chi-squared distribution. It has two parameters: which specifies the number of degrees of freedom (i.e. the number of ), and which is related to the mean of the random variables by:
is sometimes called the noncentrality parameter. Note that some references define in other ways, such as half of the above sum, or its square root.
This distribution arises in multivariate statistics as a derivative of the multivariate normal distribution. While the central chi-squared distribution is the squared norm of a random vector with distribution (i.e., the squared distance from the origin to a point taken at random from that distribution), the non-central is the squared norm of a random vector with distribution. Here is a zero vector of length k, and is the identity matrix of size k.
The probability density function (pdf) is given by
where is distributed as chi-squared with degrees of freedom.
From this representation, the noncentral chi-squared distribution is seen to be a Poisson-weighted mixture of central chi-squared distributions. Suppose that a random variable J has a Poisson distribution with mean , and the conditional distribution of Z given J = i is chi-squared with k + 2i degrees of freedom. Then the unconditional distribution of Z is non-central chi-squared with k degrees of freedom, and non-centrality parameter .
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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.
In probability theory and statistics, the noncentral chi distribution is a noncentral generalization of the chi distribution. It is also known as the generalized Rayleigh distribution. If are k independent, normally distributed random variables with means and variances , then the statistic is distributed according to the noncentral chi distribution. The noncentral chi distribution has two parameters: which specifies the number of degrees of freedom (i.e.
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