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Moments of the Noncentral Chi Distribution

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  • John Lawrence

    (US Food and Drug Administration)

Abstract

Explicit closed form formulas for the integer moments of the noncentral chi distribution are given. The mean of the noncentral chi distribution is the average distance between a fixed point and a random vector with a standard multivariate normal distribution. Previous published expressions for the mean use the hypergeometric function or infinite series. In the case where the dimension, d, is even, the formula presented here can be expressed using polynomials of order (d − 1)/2, the square root function, and standard normal density and distribution functions. In the case where the dimension is odd, the formula involves two Bessel functions of the first kind. Calculation of the other positive integer moments is also discussed.

Suggested Citation

  • John Lawrence, 2023. "Moments of the Noncentral Chi Distribution," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1243-1259, August.
    • Handle: RePEc:spr:sankha:v:85:y:2023:i:2:d:10.1007_s13171-021-00262-3
    DOI: 10.1007/s13171-021-00262-3
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    References listed on IDEAS

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    1. Szekely, Gábor J. & Rizzo, Maria L., 2005. "A new test for multivariate normality," Journal of Multivariate Analysis, Elsevier, vol. 93(1), pages 58-80, March.
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