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4.7 Chi-Squared Distributions

The document introduces the chi-squared distribution, which is useful in statistics. It has a probability density function defined for positive values based on the gamma function and degrees of freedom. Key properties are that the mean is equal to the degrees of freedom and the variance is twice the degrees of freedom. Relationships between chi-squared and normal distributions are also described.

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85 views2 pages

4.7 Chi-Squared Distributions

The document introduces the chi-squared distribution, which is useful in statistics. It has a probability density function defined for positive values based on the gamma function and degrees of freedom. Key properties are that the mean is equal to the degrees of freedom and the variance is twice the degrees of freedom. Relationships between chi-squared and normal distributions are also described.

Uploaded by

JoséBorj
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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4.

7: Chi-Squared Distributions
In this section, we introduce the chi-squared distributions, which are very useful in statistics.

Chi-Squared Distributions

Definition 4.7.1
A random variable X has a chi-squared distribution with k degrees of freedom, where k is a positive integer, write
X ∼ χ (k) , if X has pdf given by
2

⎧ 1
⎪ k/2−1 −x/2
x e , for x ≥ 0,
k/2
f (x) = ⎨ Γ(k/2)2
⎩
⎪
0 otherwise,

Figure 1: Graph of pdf for χ 2


(1) distribution.
The chi-squared distributions are a special case of the gamma distributions with α = k

2
,λ =
1

2
, which can be used to establish the
following properties of the chi-squared distribution.

Properties of Chi-Squared Distributions


If X ∼ χ 2
(k) , then X has the following properties.
1. The mgf of X is given by
1 1
MX (t) = , for t <
(1 − 2t)k/2 2

2. The mean of X is E[X] = k , i.e., the degrees of freedom.


3. The variance of X is Var(X) = 2k , i.e., twice the degrees of freedom.

Note that there is no closed form equation for the cdf of a chi-squared distribution in general. But most graphing calculators have a
built-in function to compute chi-squared probabilities. On the TI-84 or 89, this function is named "χ cdf''. 2

4.7.1 https://stats.libretexts.org/@go/page/9108
The main applications of the chi-squared distributions relate to their importance in the field of statistics, which result from the
following relationships between the chi-squared distributions and the normal distributions.

Relationships of Chi-Squared Distributions


1. If Z is a standard normal random variable, i.e., Z ∼ N (0, 1) , then the distribution of Z is chi-squared with k = 1 degree
2

of freedom.
2. If X , … , X is a collection of independent, chi-squared random variables each with 1 degree of freedom, i.e.,
1 n

X ∼ χ (1) , for each i = 1, … , n, then the sum X + ⋯ + X is also chi-squared with k = n degrees of freedom.
2
i 1 n

3. If X ∼ χ (k ) and Y ∼ χ (k ) are independent random variables, then X + Y ∼ χ (k + k ) .


2
1
2
2
2
1 2

4.7: Chi-Squared Distributions is shared under a not declared license and was authored, remixed, and/or curated by LibreTexts.

4.7.2 https://stats.libretexts.org/@go/page/9108

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