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Date: 8-3-2021
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The chi distribution with degrees of freedom is the distribution followed by the square root of a chi-squared random variable. For
, the
distribution is a half-normal distribution with
. For
, it is a Rayleigh distribution with
. The chi distribution is implemented in the Wolfram Language as ChiDistribution[n].
The probability density function and distribution function for this distribution are
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(1) |
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(2) |
where is a regularized gamma function.
The th raw moment is
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(3) |
(Johnson et al. 1994, p. 421; Evans et al. 2000, p. 57; typo corrected), giving the first few as
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(4) |
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(5) |
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(6) |
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(7) |
The mean, variance, skewness, and kurtosis excess are given by
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(8) |
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(9) |
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(10) |
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(11) |
REFERENCES:
Evans, M.; Hastings, N.; and Peacock, B. "Chi Distribution." §8.3 in Statistical Distributions, 3rd ed. New York: Wiley, p. 57, 2000.
Johnson, N.; Kotz, S.; and Balakrishnan, N. Continuous Univariate Distributions, Vol. 1, 2nd ed. Boston, MA: Houghton Mifflin, 1994.
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