Chi distribution

From Wikipedia, the free encyclopedia

chi
Probability density function
Plot of the Rayleigh PMF
Cumulative distribution function
Plot of the Rayleigh CMF
Parameters k>0\, (degrees of freedom)
Support x\in [0;\infty)
Probability density function (pdf) \frac{2^{1-k/2}x^{k-1}e^{-x^2/2}}{\Gamma(k/2)}
Cumulative distribution function (cdf) P(k/2,x^2/2)\,
Mean \mu=\sqrt{2}\,\frac{\Gamma((k+1)/2)}{\Gamma(k/2)}
Median
Mode \sqrt{k-1}\, for k\ge 1
Variance \sigma^2=k-\mu^2\,
Skewness \gamma_1=\frac{\mu}{\sigma^3}\,(1-2\sigma^2)
Excess Kurtosis \frac{2}{\sigma^2}(1-\mu\sigma\gamma_1-\sigma^2)
Entropy \ln(\Gamma(k/2))+\,
\frac{1}{2}(k\!-\!\ln(2)\!-\!(k\!-\!1)\psi_0(k/2))
mgf Complicated (see text)
Char. func. Complicated (see text)

In probability theory and statistics, the chi distribution is a continuous probability distribution. The distribution usually arises when a k-dimensional vector's orthogonal components are independent and each follow a standard normal distribution. The length of the vector will then have a chi distribution. The most familiar example is the Maxwell distribution of (normalized) molecular speeds which is a chi distribution with 3 degrees of freedom. If Xi are k independent, normally distributed random variables with means μi and standard deviations σi, then the statistic

Z = \sqrt{\sum_1^k \left(\frac{X_i-\mu_i}{\sigma_i}\right)^2}

is distributed according to the chi distribution. The chi distribution has one parameter: k which specifies the number of degrees of freedom (i.e. the number of Xi).

[edit] Properties

The probability density function is

f(x;k) = \frac{2^{1-k/2}x^{k-1}e^{-x^2/2}}{\Gamma(k/2)}

where Γ(z) is the Gamma function. The cumulative distribution function is given by:

F(x;k)=P(k/2,x^2/2)\,

where P(k,x) is the regularized Gamma function. The moment generating function is given by:

M(t)=M\left(\frac{k}{2},\frac{1}{2},\frac{t^2}{2}\right)+
t\sqrt{2}\,\frac{\Gamma((k+1)/2)}{\Gamma(k/2)} M\left(\frac{k+1}{2},\frac{3}{2},\frac{t^2}{2}\right)

where M(a,b,z) is Kummer's confluent hypergeometric function. The raw moments are then given by:

\mu_j=2^{j/2}\frac{\Gamma((k+j)/2)}{\Gamma(k/2)}

where Γ(z) is the Gamma function. The first few raw moments are:

\mu_1=\sqrt{2}\,\,\frac{\Gamma((k\!+\!1)/2)}{\Gamma(k/2)}
\mu_2=k\,
\mu_3=2\sqrt{2}\,\,\frac{\Gamma((k\!+\!3)/2)}{\Gamma(k/2)}=(k+1)\mu_1
\mu_4=(k)(k+2)\,
\mu_5=4\sqrt{2}\,\,\frac{\Gamma((k\!+\!5)/2)}{\Gamma(k/2)}=(k+1)(k+3)\mu_1
\mu_6=(k)(k+2)(k+4)\,

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

\Gamma(x+1)=x\Gamma(x)\,

From these expressions we may derive the following relationships:

Mean: \mu=\sqrt{2}\,\,\frac{\Gamma((k+1)/2)}{\Gamma(k/2)}

Variance: \sigma^2=k-\mu^2\,

Skewness: \gamma_1=\frac{\mu}{\sigma^3}\,(1-2\sigma^2)

Kurtosis excess: \gamma_2=\frac{2}{\sigma^2}(1-\mu\sigma\gamma_1-\sigma^2)

The characteristic function is given by:

\varphi(t;k)=M\left(\frac{k}{2},\frac{1}{2},\frac{-t^2}{2}\right)+
it\sqrt{2}\,\frac{\Gamma((k+1)/2)}{\Gamma(k/2)} M\left(\frac{k+1}{2},\frac{3}{2},\frac{-t^2}{2}\right)

where again, M(a,b,z) is Kummer's confluent hypergeometric function. The entropy is given by:

S=\ln(\Gamma(k/2))+\frac{1}{2}(k\!-\!\ln(2)\!-\!(k\!-\!1)\psi_0(k/2))

where ψ0(z) is the polygamma function.

[edit] Related distributions

  • If X is chi distributed X \sim \chi_k(x) then X2 is chi-square distributed: X^2 \sim \chi^2_k
  • The Rayleigh distribution with σ = 1 is a chi distribution with two degrees of freedom.
  • The Maxwell distribution for normalized molecular speeds is a chi distribution with three degrees of freedom.
  • The chi distribution for k = 1 is the half-normal distribution.
Various chi and chi-square distributions
Name Statistic
chi-square distribution \sum_1^k \left(\frac{X_i-\mu_i}{\sigma_i}\right)^2
noncentral chi-square distribution \sum_1^k \left(\frac{X_i}{\sigma_i}\right)^2
chi distribution \sqrt{\sum_1^k \left(\frac{X_i-\mu_i}{\sigma_i}\right)^2}
noncentral chi distribution \sqrt{\sum_1^k \left(\frac{X_i}{\sigma_i}\right)^2}
Retrieved from "http://en.wikipedia.org../../../c/h/i/Chi_distribution.html"