Quadratic Forms

Definition: Let {X1, X2, . . . ,Xn } be n (non random) variables. A quadratic

form Q is, by definition, an expression such as:
Q=

ij

aij Xi Xj

where aij (the coefficients of the form) are real numbers.

So, a quadratic form is a second degree, homogenous (no constant term)
polynomial in the Xi.
Matrix Notation:
* A denotes the matrix whose general term is [aij].
* A quadratic form Q is then defined by the matrix equation:

Q = X'AX
where X=( X1, X2, . . . ,Xn) is random vector.
Note: The matrix A is assumed to be symmetric matrix.
Expectation of a quadratic form
Let:
* X be a random vector with mean and covariance matrix

* Q = X'AX be a quadratic form.

Then

E[XAX] = tr(A

) + 'A

Note: The above formula is independent of the distribution of X.

Quadratic forms in a multivariate Normal vector and the Chisquare distribution:

1. X is a multivariate normal vector then we write X ~N(,

) where is

mean vector and

is variance-covariance matrix.
2. Let {X1, X2 , ..., Xn} be n standard normal independent variables :
Xi ~ N(0, 1)
for all i.
Then Chi-square distribution with n degrees of freedom is the
distribution of the variable X defined as:

X=
and is usually denoted by X ~

Xi

Observe that it is a special quadratic form with A same as Identity matrix of

order n.
Question: Do there exist some other matrix P such that XPX follows chisquare distribution?
Result 1: If X~N(0, In) then Q=XPX ~
and rank (P) is r.
Result 2: If X~ N(,
) then Q=XPX ~
conditions are satisfied
(a)P=P

if and only if P is idempotent

(non central) if and only if both

P (b) rank (P)=r. Further, non centrality parameter is 'P.

Independence of two quadratic forms in a multivariate normal

vector
Result 3: Two Linear forms AX and BX in a multinormal vector X with
covariance matrix

are

independent if and only if A

B=0.

Result 4 (Craigs theorem) : Let X~Np(,

), and let X'AX and X'BX be
two (Chi-square distributed) quadratic forms, then these two forms are
independent if and only if A

B = 0.

Note: It is not assumed that the Chi-square distributions of the quadratic

forms are central or have the same numbers of degrees of freedom.
Previous Year Questions:
1. (December 2014) Section C

Ans: 1, 2, 4
Explanation:

Covariance matrix is Identity. A and B are idempotent and Symmetric.

Option 1: by result 4
Option 2: We know that YAY and YBY both chi square random variables.
Also, we know
sum of two chi square is chi square if and only if they are
independent. So, by both these results, option B is correct.
Option 3: Difference of two chi square is not chi square. So, not correct
Option 4: already discussed above.
2. (June 2014) Section B

Ans d Explanation: Using result 2, we have the distribution of quadratic form as

chi square and expectation of chi square is its parameter p and variance is 2p.
3.

December 2012 Section C

Ans 1,4
Explanation: for q2 the matrix P is {0.5 -0.5 0; -0.5 0.5 0; 0 0 0}(row wise)
And for q1, P matrix is {0.5 0.5 0; 0.5 0.5 0; 0 0 1}(row wise)
Now, variance covariance matrix is identity matrix.
Result 2 gives both q1 and q2 are chi square non central but for q1, the non
central parameter is zero hence it is central but for q2 it is not. So, option 1 is
true but not 2. Hence 3 is not true.
Also, by result 4, option 4 is correct.
4. (December 2011 Part B)Let X be a p dimensional random vector that
follows N(0, Ip) distribution and let A be a real symmetric matrix. Which of
the following is true?
(a)XAX has a chi-square distribution if A2=A but the converse is not true.

(b)If XAX has a chi square distribution then the degrees of freedom is p.
(c) If XAX has a chi square distribution then characteristic roots of A are
either 0 or 1.
(d)If XAX has a chi square distribution then A is necessarily positive
definite.
Ans: Using result 1, option C is correct.