Chi distribution

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Template:Probability distribution {{ safesubst:#invoke:Unsubst||$N=Unreferenced |date=__DATE__ |$B= {{#invoke:Message box|ambox}} }} In probability theory and statistics, the chi distribution is a continuous probability distribution. It is the distribution of the square root of the sum of squares of independent random variables having a standard normal distribution. The most familiar example is the Maxwell distribution of (normalized) molecular speeds which is a chi distribution with 3 degrees of freedom (one for each spatial coordinate). If are k independent, normally distributed random variables with means and standard deviations , then the statistic

is distributed according to the chi distribution. Accordingly, dividing by the mean of the chi distribution (scaled by the square root of n − 1) yields the correction factor in the unbiased estimation of the standard deviation of the normal distribution. The chi distribution has one parameter: which specifies the number of degrees of freedom (i.e. the number of ).


Probability density function

The probability density function is

where is the Gamma function.

Cumulative distribution function

The cumulative distribution function is given by:

where is the regularized Gamma function.

Generating functions

Moment generating function

The moment generating function is given by:

Characteristic function

The characteristic function is given by:

where again, is Kummer's confluent hypergeometric function.


Differential equation


The raw moments are then given by:

where is the Gamma function. The first few raw moments are:

where the rightmost expressions are derived using the recurrence relationship for the Gamma function:

From these expressions we may derive the following relationships:




Kurtosis excess:


The entropy is given by:

where is the polygamma function.

Related distributions

Various chi and chi-squared distributions
Name Statistic
chi-squared distribution
noncentral chi-squared distribution
chi distribution
noncentral chi distribution

See also

External links

  1. REDIRECT Template:Probability distributions