Tell me more ×
Cross Validated is a question and answer site for statisticians, data analysts, data miners and data visualization experts. It's 100% free, no registration required.

What would be the distribution of $y$, when:

  1. $y = x^2$ and $x\sim\mathcal{N}(\mu, \sigma^2)$.
  2. $y = x^2$ and $x\sim$ Log-$\mathcal{N}$.
share|improve this question
1  
is $\mathbb{N}$ suppose to denote the standard normal distribution? If so, the first one is $\chi^{2}_{1}$. – Macro Jul 18 '11 at 2:07
2  
Sounds like homework..? – hawk Jul 18 '11 at 12:40
@Simon Byrne I think you added the tag "homework", but it's a guess. You can't know if it is homework, unless the asker says so. – Theta30 Aug 4 '11 at 19:56

2 Answers

up vote 6 down vote accepted

Assuming $X\sim\mathcal{N}\left(0,1\right)$ then $Y=X^2\sim\mathcal{\chi}_{1}^{2}$.

Assuming $X\sim\text{log-}\mathcal{N}\left(0,1\right)$ then $Y=X^2\sim\text{log-}\mathcal{N}\left(0,4\right)$.

EDIT:

In general, if $X\sim\text{log-}\mathcal{N}\left(\mu,\sigma^2\right)$, then according to the Wikipedia article, $X^\alpha\sim\text{log-}\mathcal{N}\left(\alpha\mu,\alpha^2\sigma^2\right)$.

I'm unsure of the general case for $X^\alpha$ when $X\sim\mathcal{N}\left(0,1\right)$.

share|improve this answer
What about general case? – MYaseen208 Jul 18 '11 at 2:28

Max answered the second question.
For the first question, $y=x^2$ is a Non-central chi-square distibution, up to a scalar ($\sigma^2$).

share|improve this answer

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.