On the distribution of a linear combination correlated quadratic forms
Paruchuri R. Krishnaiah, V.B. Walkar · Communications in Statistics · 1973
In this paper, the authors proved the infinite divisibility of a linear combination of correlated noncentral quadratic forms is normal variables. Further, using the property of the infinite divisibility, tvo representations are given for the distribution of the above linear combination. Finally, the authors derived a generalization of the noncentral multivariate t‐distribution and also obtained as exact expression for the density of the difference of two correlated chi‐square random variables with same degrees of freedom.