Skip to content
Q158Section III (Statistics)158 of 190

An idempotent-matrix quadratic form in Mahalanobis coordinates gives a chi-square with rank-many degrees of freedom

Let X‾∼N(0‾,Σ)\underline X\sim N(\underline0,\Sigma) where Σ\Sigma is a ++ve definite matrix, and A is an idempotent matrix of rank k<Pk<P. Let Z=X⊤Σ−1AXZ=X^\top\Sigma^{-1}AX. Then mean and variance of z respectively equal:

Options

Pick an option to check your answer.