MultivariateStatistics`

QuadraticFormDistribution

represents the distribution of a quadratic form z.a.z+b.z+c for multivariate normal z.

Details and Options

To use QuadraticFormDistribution, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].
QuadraticFormDistribution is the distribution of z.a.z+b.z+c for real-valued × symmetric positive definite matrix a, length- vector b, scalar c, and -dimensional multivariate normal vector z.
QuadraticFormDistribution can be used with such functions as Mean and RandomReal.

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The mean of a quadratic form distribution:

The variance of a quadratic form distribution:

Generate a set of pseudorandom numbers that follow a quadratic form distribution:

PDF and CDF can only be evaluated using Series:

Series expansion must be about the lower support point for the distribution:

Substitution of invalid parameters into symbolic outputs gives results that are not meaningful:

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