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Q130Section III (Statistics)130 of 180

Cochran's theorem for correlated normals — only the whitened form is chi-square

If (X,Y)′(X,Y)' follows bivariate normal distribution with mean vector (0,0)′(0,0)' and variance-covariance matrix Σ=(10.50.51)\Sigma=\left(\begin{smallmatrix}1&0.5\\0.5&1\end{smallmatrix}\right), which of the following does not have a χ2\chi^2-distribution?

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