[Math] Distribution of sample variance from normal distribution

normal distributionstandard deviation

Assuming $N$ samples $\{x_1,…,x_N\}$ are taken from a normal distribution with mean $\mu$ and variance $\sigma^2$, then the variance can be estimated using
\begin{equation}
s_1^2=\frac{1}{N-1}\sum_{i=1}^N(x_i-\overline{x})^2.
\end{equation}
According to wikipedia $(N-1)s_1^2/\sigma^2$ has a chi-squared distribution with $(N-1)$ degrees of freedom.

In my case I know that $\mu=0$ and want to consider
\begin{equation}
s_2^2=\frac{1}{N}\sum_{i=1}^Nx_i^2
\end{equation}
instead.
Can $s_2^2$ also be linked to some known distribution?

Best Answer

$\displaystyle \sum_{i=1}^N \left(\frac{x_i-\mu}{\sigma}\right)^2$ has a $\chi_N^2$ distribution (chi-squared with $N$ degrees of freedom) as as the sum of $N$ independent standard normal random variables.

So if $\mu=0$ and $\displaystyle s_2^2=\frac{1}{N}\sum_{i=1}^Nx_i^2$ then $N s_2^2 / \sigma^2$ also has a $\chi_N^2$ distribution.

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