RANDOM VARIABLE

RANDOM MATRIX

Central chi-square

, ,

or as a Bessel function.

Central Wishart

,

Non-central Chi-square,

,.

: Non-centrality parameter,

or as a Bessel function.

It has MGF.

Non-central Wishart

Central Gamma

,.

Central Gamma

, ,

Randomized Gamma

,

where

Non-central Gamma

: Non-centrality parameter matrix.

,

Non-central Gamma

.