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QuadraticFormDistribution

QuadraticFormDistribution[{a, b, c}, {Mu, CapitalSigma}]
represents the distribution of a quadratic form z.a.z+b.z+c for multivariate normal z.
  • QuadraticFormDistribution is the distribution of z.a.z+b.z+c for real-valued p×p symmetric positive definite matrix a, length p vector b, scalar c, and p-dimensional multivariate normal vector z.
  • QuadraticFormDistribution can be used with such functions as Mean and RandomReal.
Needs["MultivariateStatistics`"]
The mean of a quadratic form distribution:
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Needs["MultivariateStatistics`"]
The variance of a quadratic form distribution:
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