Deriving the Chi-squared distribution using characteristic functions











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I would like to directly derive the probability density function (PDF) for a Chi-squared distribution with $k$ degrees of freedom using characteristic functions.



If $X_{1}, X_{2}, dots, X_{k}$ are independent, standard normal random variables, then $$ Y = sum_{i=1}^{k} X_{i}^{2} $$ and $Y$ is chi-squared distributed with $k$ degrees of freedom. The PDF for $Y$ when $k = 1$ is given by $$ f(x, 1) = frac{1}{sqrt{2 pi x}} e^{-frac{1}{2} x} $$ and its respective characteristic function is $$ varphi_{Y_{1}} (omega) = int_{-infty}^{infty} f(x, 1) e^{iwx} dx = (1 - i2 omega)^{-frac{1}{2}} text{,}$$ where $i$ is the imaginary number. For a general $k$ degrees of freedom, $Y$'s characteristic function is given by $$varphi_{Y} (omega) = (1 - i2 omega)^{-frac{k}{2}} text{.}$$ Is it possible to explicitly derive $f(x, k)$ using the inverse Fourier transform, where $$ f(x, k) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-frac{k}{2}} e^{-iwx} domega ?$$
I have had no success with this approach, but I'm probably missing something very obvious.



Failing that, is it possible to derive a formula for $k=2$, where $$f(x, 2) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-1} e^{-iwx} domega ?$$ This would at least allow me derive the PDF inductively. In addition, I am aware that $f(x, 1)$ can be represented as the Gamma distribution $text{Gamma}(x, frac{1}{2}, frac{1}{2})$ and the sum of independent Gamma random variables is known to be Gamma distributed, therefore, for this example, $$ Y sim text{Gamma} ( cdot, frac{k}{2}, frac{1}{2}) text{.} $$










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    I would like to directly derive the probability density function (PDF) for a Chi-squared distribution with $k$ degrees of freedom using characteristic functions.



    If $X_{1}, X_{2}, dots, X_{k}$ are independent, standard normal random variables, then $$ Y = sum_{i=1}^{k} X_{i}^{2} $$ and $Y$ is chi-squared distributed with $k$ degrees of freedom. The PDF for $Y$ when $k = 1$ is given by $$ f(x, 1) = frac{1}{sqrt{2 pi x}} e^{-frac{1}{2} x} $$ and its respective characteristic function is $$ varphi_{Y_{1}} (omega) = int_{-infty}^{infty} f(x, 1) e^{iwx} dx = (1 - i2 omega)^{-frac{1}{2}} text{,}$$ where $i$ is the imaginary number. For a general $k$ degrees of freedom, $Y$'s characteristic function is given by $$varphi_{Y} (omega) = (1 - i2 omega)^{-frac{k}{2}} text{.}$$ Is it possible to explicitly derive $f(x, k)$ using the inverse Fourier transform, where $$ f(x, k) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-frac{k}{2}} e^{-iwx} domega ?$$
    I have had no success with this approach, but I'm probably missing something very obvious.



    Failing that, is it possible to derive a formula for $k=2$, where $$f(x, 2) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-1} e^{-iwx} domega ?$$ This would at least allow me derive the PDF inductively. In addition, I am aware that $f(x, 1)$ can be represented as the Gamma distribution $text{Gamma}(x, frac{1}{2}, frac{1}{2})$ and the sum of independent Gamma random variables is known to be Gamma distributed, therefore, for this example, $$ Y sim text{Gamma} ( cdot, frac{k}{2}, frac{1}{2}) text{.} $$










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      I would like to directly derive the probability density function (PDF) for a Chi-squared distribution with $k$ degrees of freedom using characteristic functions.



      If $X_{1}, X_{2}, dots, X_{k}$ are independent, standard normal random variables, then $$ Y = sum_{i=1}^{k} X_{i}^{2} $$ and $Y$ is chi-squared distributed with $k$ degrees of freedom. The PDF for $Y$ when $k = 1$ is given by $$ f(x, 1) = frac{1}{sqrt{2 pi x}} e^{-frac{1}{2} x} $$ and its respective characteristic function is $$ varphi_{Y_{1}} (omega) = int_{-infty}^{infty} f(x, 1) e^{iwx} dx = (1 - i2 omega)^{-frac{1}{2}} text{,}$$ where $i$ is the imaginary number. For a general $k$ degrees of freedom, $Y$'s characteristic function is given by $$varphi_{Y} (omega) = (1 - i2 omega)^{-frac{k}{2}} text{.}$$ Is it possible to explicitly derive $f(x, k)$ using the inverse Fourier transform, where $$ f(x, k) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-frac{k}{2}} e^{-iwx} domega ?$$
      I have had no success with this approach, but I'm probably missing something very obvious.



      Failing that, is it possible to derive a formula for $k=2$, where $$f(x, 2) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-1} e^{-iwx} domega ?$$ This would at least allow me derive the PDF inductively. In addition, I am aware that $f(x, 1)$ can be represented as the Gamma distribution $text{Gamma}(x, frac{1}{2}, frac{1}{2})$ and the sum of independent Gamma random variables is known to be Gamma distributed, therefore, for this example, $$ Y sim text{Gamma} ( cdot, frac{k}{2}, frac{1}{2}) text{.} $$










      share|cite|improve this question















      I would like to directly derive the probability density function (PDF) for a Chi-squared distribution with $k$ degrees of freedom using characteristic functions.



      If $X_{1}, X_{2}, dots, X_{k}$ are independent, standard normal random variables, then $$ Y = sum_{i=1}^{k} X_{i}^{2} $$ and $Y$ is chi-squared distributed with $k$ degrees of freedom. The PDF for $Y$ when $k = 1$ is given by $$ f(x, 1) = frac{1}{sqrt{2 pi x}} e^{-frac{1}{2} x} $$ and its respective characteristic function is $$ varphi_{Y_{1}} (omega) = int_{-infty}^{infty} f(x, 1) e^{iwx} dx = (1 - i2 omega)^{-frac{1}{2}} text{,}$$ where $i$ is the imaginary number. For a general $k$ degrees of freedom, $Y$'s characteristic function is given by $$varphi_{Y} (omega) = (1 - i2 omega)^{-frac{k}{2}} text{.}$$ Is it possible to explicitly derive $f(x, k)$ using the inverse Fourier transform, where $$ f(x, k) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-frac{k}{2}} e^{-iwx} domega ?$$
      I have had no success with this approach, but I'm probably missing something very obvious.



      Failing that, is it possible to derive a formula for $k=2$, where $$f(x, 2) = frac{1}{2 pi} int_{-infty}^{infty} (1 - i2 omega)^{-1} e^{-iwx} domega ?$$ This would at least allow me derive the PDF inductively. In addition, I am aware that $f(x, 1)$ can be represented as the Gamma distribution $text{Gamma}(x, frac{1}{2}, frac{1}{2})$ and the sum of independent Gamma random variables is known to be Gamma distributed, therefore, for this example, $$ Y sim text{Gamma} ( cdot, frac{k}{2}, frac{1}{2}) text{.} $$







      integration probability-theory probability-distributions fourier-transform chi-squared






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      edited Nov 23 at 13:28

























      asked Nov 23 at 10:51









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