Report, 22 October 2021
This paper presents the probability distribution function (p.d.f.) and cumulative distribution function (c.d.f.) of the weighted sum of central independent chi-squared random variables with non-zero weighs based on a method using moment generating functions. To obtain the p.d.f. and c.d.f. of such a function, we first derive the moment generating function of this weighted sum using the partial fractions decomposition
or the residue method. The results cover the sum of two and three weighted
chi-squared random variables, which can easily be adapted to more general cases.