MultivariateStatistics`
MultivariateStatistics`

QuadraticFormDistribution

QuadraticFormDistribution[{a,b,c},{μ,Σ}]

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

Details

Examples

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Basic Examples  (2)

The mean of a quadratic form distribution:

The variance of a quadratic form distribution:

Scope  (3)

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

Possible Issues  (2)

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: