What is chi-square random variable?
Let there be independent and identically distributed Gaussian random variables with mean and variance and we form a new random variable, . Then is a chi square random variable with degrees of freedom. There are two types of chi square distribution. The first is obtained when has a zero mean and is called central chi square distribution. The second is obtained when has a non-zero mean and is called non-central chi square distribution. Four our discussion, we will focus only on central chi square distribution.
