Solved – Density of a quadratic transformation of a normal random variable

distributionsmultivariate analysisnormal distribution

Consider the normally distributed random vector
$$X \sim \mathcal{N}(\mu, \Sigma)$$
What is the distribution of $Y = f(X)$?

For general $f$ this is a challenging problem but for the affine linear case
$$f(x)_i = c_i + L_{ij}x_j$$
with $c$ a vector and $L$ a matrix. We know that this has a nice closed form. In fact, $Y$ is distributed again as a multivariate normal.
$$Y \sim \mathcal{N}(c + L\mu, \;L\Sigma L^T)$$

Consider now the next simplest case. Consider that $f$ is not linear but rather quadratic. I.e.
$$f(x)_i = c_i + L_{ij}x_j + H_{ijk} x_jx_k$$
with $c$ a vector, $L$ a matrix and $H$ a rank three tensor.

Does a closed form expression exist for the density of $Y$?

Best Answer

The moments of such transformation can probably be found in Sec. 2.2.3 of Kollo and von Rosen (2005). Transformations of this kind have been used in some multivariate simulations. I understand there's a book on polynomials of multivariate distributions, but I have not seen it, and don't know if you'd be able to find the closed form expressions for the density of this transformation there. In a univariate case, you get a (scaled and shifted) non-central $\chi^2$ distribution, and the density expression for it is somewhat unwieldy (Bessel and hypergeometric functions, or infinite series of Poisson-weighted gamma distributions).