Probstat/notes/chi-squared distribution

This is part of probstat.

Definition

Let $Z_{1},Z_{2},\ldots ,Z_{n}$ be independent unit normal random variables. A random variable

$X=Z_{1}^{2}+Z_{2}^{2}+\cdots +Z_{n}^{2},$

is called a chi-squared random variable with $n$ degree of freedom. We also write

$X\sim \chi _{n}^{2}.$