I have done some extensive googling and I haven't been successful. Say I have 3 independent random variables that are normally distributed with different means, that is, $X_i \sim \mathcal{N}(\mu_i,\sigma_i^2)$ for $i=1,2,3$. How is the sum of them, or the square root of the sum of them distributed?

This question stems form a research project where I am analyzing the magnitude of vectors whose components are normally distributed. I realize this is closely related to the Maxwell, Rayleigh and Chi squared distributions, but transforming the variables isn't an option because a reverse transformation will be to hard to derive. For example, say I transform the variables into standard normals and apply the Maxwell distribution to find the 75th percentile of the transformed vector magnitude. Without making approximations, I can't relate this to the 75th percentile of the untransformed vector magnitude.

  • 2
    $\begingroup$ If they all have the same mean, the sum of their squares is a scaled non central Chi-Square distribution with the mean as the non-centrality parameter. If they have different means, I know of no nice closed form solution. $\endgroup$ – JohnRos Jul 16 '13 at 22:14
  • 1
    $\begingroup$ The answer to this question stats.stackexchange.com/questions/29860/…, and its Wikipedia source (en.wikipedia.org/wiki/Hotelling%27s_T-squared_distribution) might be very helpful. $\endgroup$ – QuantIbex Jul 17 '13 at 0:11
  • 1
    $\begingroup$ @JohnRos: judging from Wikipedia, the result would be noncentrally $\chi^2$ if all $X_i$ had unit variance but (potentially) different means, in contrast to what you write. Are you mistaken, or is Wikipedia? $\endgroup$ – Stephan Kolassa Jan 6 '16 at 11:10
  • 1
    $\begingroup$ @JohnRos: but you take equal means as the precondition for the sum of squares to be noncentral $\chi^2 $\endgroup$ – Stephan Kolassa Jan 6 '16 at 14:00
  • 2
    $\begingroup$ Maybe you should state your real problem in less abstract language. You say "physics of the problem doesn't really dictate working in that vector space" What is the physics of the problem? tell us, please. $\endgroup$ – kjetil b halvorsen Oct 6 '17 at 10:09

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.