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Q160Section III (Statistics)160 of 190

Cochran's theorem: rank-sum equal to nn plus positive semi-definiteness gives independent chi-squares

Let X‾∼Nn(0‾,σ2In)\underline X\sim N_n(\underline0,\sigma^2I_n). Let Y=∑i=1nXi2/σ2Y=\sum_{i=1}^nX_i^2/\sigma^2 and Qi=X‾′AiX‾Q_i=\underline X'A_i\underline X with rank(Ai)=ri,i=1,2,…,k(A_i)=r_i, i=1,2,\dots,k. Let Y=∑i=1kQiY=\sum_{i=1}^kQ_i. Then Q1,Q2,…,QkQ_1,Q_2,\dots,Q_k are independently distributed if and only if:

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