2.3.

The Chi-Square Distribution

One of the most important special cases of the gamma distribution is the chi-square
distribution because the sum of the squares of independent normal random variables with
mean zero and standard deviation one has a chi-square distribution. This section collects
some basic properties of chi-square random variables, all of which are well known; see
Hogg and Tanis [6].
A random variable X has a chi-square distribution with n degrees of freedom if it is a
gamma random variable with parameters m = n/2 and = 2, i.e X ~ (n/2,2). Therefore,
its probability density function (pdf) has the form
(1)

f(t) = f(t; n) =

In this case we shall say X is a chi-square random variable with n degrees of freedom and
write X ~ (n). Usually n is assumed to be an integer, but we only assume n > 0.

Proposition 1. If X has a gamma distribution with parameters m and then 2X/ has a
chi-square distribution with 2m degrees of freedom.
Proof. By Proposition 5 in section 2.2 the random variable X has a gamma distribution
with parameters m and 2, i.e X ~ (m,2) = ((2m)/2,2). The proposition follows from
this.

Proposition 2. If X has a chi-square distribution with n degrees of freedom, then the

mean of X is X = E(X) = n. If Y/ has a chi-square distribution with n degrees of
freedom, then the mean of Y is Y = E(Y) = n.

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Proof. Since X ~ (n/2,2) it follows from Proposition 2 of section 2.2 that X = (n/2)(2) =
n. One has Y/ = X where X has a chi-square distribution with n degrees of freedom.
Therefore E(Y) = E(X) = E(X) = n.

Proposition 3. If X has a chi-square distribution with n degrees of freedom, then the

variance of X is X2 = E((X - X)2) = 2n. If Y/ has a chi-square distribution with n
degrees of freedom, then the variance of Y is Y2 = 2n2.
Proof. Since X ~ (n/2,2) it follows from Proposition 3 of section 2.2 that X2 = (n/2)
(22) = 2n. One has Y/ = X where X has a chi-square distribution with n degrees of
freedom. Therefore Y2 = 2X2 = 2n2.

Proposition 4. If f(t) is given by (1) then for t > 0 one has

f(t) has a single local maximum at t = n - 2 if m > 2.
f(t) is strictly decreasing for t > 0 if m 2
Proof. Since X ~ (n/2,2) this follows from Proposition 4 of section 2.2.

Proposition 5. If X and Y are independent chi-square random variables with n and p

degrees of freedom respectively, then X + Y is a chi-square random variable with n + p
degrees of freedom.
Proof. Since X ~ (n/2,2) and Y ~ (p/2,2), it follows from Proposition 5 of section 2.2
that X + Y ~ ((n+p)/2,2). The proposition follows from this.
Proposition 6. If X has a chi-square distribution with n degrees of freedom, then the
Laplace transform L(s) and moment generating function M(r) of X are given by
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L(s) =
M(r) =
Proof. Since X ~ (n/2,2) this follows from Proposition 6 of section 2.2.
Proposition 7. Let Z1, , Zn be independent normal random variables with mean zero
and standard deviation one and let S = Z12 + + Zn2. Then S has a chi square distribution
with n degrees of freedom.
Proof. First consider the case n = 1, i.e. S =Z2 where Z is a normal random variable with
mean zero and standard deviation one. Let F(s) = Pr{S s} be the distribution function
of S. Then for s > 0 one has
F(s) = Pr{U2 s} = Pr{ - } =
where g(u) is the density function of Z. Therefore, the density function of S is
(19)

f(s) =

= =

This is a gamma random variable with parameters m = 1/2 and = 2.so the result is true
for n = 1. The case of general n follows from Proposition 5.

Corollary 8. Let V1, , Vn be independent normal random variables with mean zero and
standard deviation and let W = V12 + + Vn2. Then W/2 has a chi-square distribution
with n degrees of freedom and W is a gamma random variable with parameters n/2 and
22.
Proof. Vj = Zj where the Zj are independent normal random variables with mean zero
and standard deviation 1. So W = 2S where S = Z12 + + Zn2. By Proposition 7, S has a
chi-square distribution with n degrees of freedom and the result follows.

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Corollary 9. Let U1, , Un be independent normal random variables with mean and
standard deviation and let W = (U1 - )2 + + (Un - )2. Then W/2 has a chi-square
distribution with n degrees of freedom.

Proof. W = V12 + + Vn2 where Vj = Uj - . The Vj are independent normal random

variables with mean zero and standard deviation . So the result follows from Corollary
8.

Theorem 10. Let U1, , Un be independent normal random variables with the same
mean and standard deviation and let = (U1 + + Un)/n and Then W has a chi square
distribution with n 1 degrees of freedom and W is a gamma random variable with
parameters (n-1)/2 and 22.
The proof of this is more involved; see Rao [11, p. 147].
Let X have a chi-square distribution with n degrees of freedom and let
G(t) = G(t;n) =

be its cummulative distribution function and let

m(t) =
be the upper incomplete gamma function and

m(t) =
be the lower incomplete gamma function.
Theorem 11.
G(t;m,) =
Proof. Since X ~ (n/2,2) this follows from Proposition 7 of section 2.2.

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