A PROBABILISTIC DERIVATION OF THE NON‐CENTRAL χ² DISTRIBUTION

Summary A simple derivation of the non‐central χ 2 distribution is presented. This requires no advanced mathematical knowledge, and is suitable for use in elementary courses. The non‐central χ 2 distribution is of great importance in statistical theory, both in its own right, and as a step in the derivation of other distributions; however, it tends to be neglected in statistical courses largely, it seems, because the standard derivations are too difficult. A recent review of derivations by Guenther (1964) shows that most require some knowledge of n ‐dimensional geometry or the equivalent matrix theory. The alternative is the use of generating functions, which is straightforward, apart from the inversion back to the density function. An objection to such methods is that they give no insight into the probabilistic nature of the proble.