Normal Distribution Theory

Sum of normal variables[edit | edit source]

Suppose that i=1,...,n and suppose that the n random variables are independent.

Then if

we have the distribution:

Chi-squared distribution[edit | edit source]

Let be independent and identically distributed and consider

The distribution of is called Chi-squared distribution with n degrees of freedom.

t-distribution[edit | edit source]

Let and be independent and identically distributed and consider

The distribution of is called t-distribution with n degrees of freedom.

F-distribution[edit | edit source]

Let and be independent and identically distributed and consider

The distribution of is called F-distribution with n and m degrees of freedom.

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