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Q157Section III (Statistics)157 of 180

Quadratic forms in normal vectors — when AA collapses to the identity

Suppose X‾3×1∼MNormal3(μ‾,Σ)\underline X_{3\times1}\sim\text{MNormal}_3(\underline\mu, \Sigma) and let Y=X‾′AX‾Y=\underline X'A\underline X where the matrix A has all eigenvalue equal to 1. Hence the probability distribution of Y

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