Cochrans Theorem Let Q = Q1 + Q2 + + Qk where Q, Q1 . . . , Qk are k + 1 quadratic forms in n independent normal random variables Y 1 , Y2 , . . .

. . , Yn with common variance 2 and with respective means 1 , 2 , . . . , n . Suppose that Qk1 Q Q1 , ,..., 2 2 2

have 2 -distributions with r, r1 , . . . , rk1 degrees of freedom, respectively. Then 1. Q1 , Q2 , . . . , Qk are independent. 2. Qk / 2 2 (rk ) where rk = r (r1 + + rk1 ).

Proof: (k = 2, easy to generalize) Recall a theorem we had (right before we covered the Expectation of a Quadratic Form) that said: Let Y M V Nn (, V ), Q 1 = Y t B1 Y , Q 2 = Y t B2 Y where B1 and B2 are n n symmetric matrices. (Note: V need not be positive denite. V may be non-negative denite and even singular.) If 1. V B1 V B2 V = 0 2. V B1 V B2 = 0 3. V B2 V B1 = 0 4. t B1 V B2 = 0 Then Q1 and Q2 are independent. If V is non-singular, the four conditions collapse to the single condition B1 V B2 = 0. In the case of Cochrans Theorem, we have V = 2 In , so the condition collapses even further to B1 B2 = 0.

We consider, in this proof, the case k = 2 where we have quadratic forms Q = Q 1 + Q2 and we want to show that Q1 and Q2 are independent. Since the Qs are quadratic forms in the Y s, we have Y t B Y = Y t B1 Y + Y t B2 Y or B = B1 + B2. So, to show that Q1 and Q2 are independent, it suces to show that B1 B2 = 0.

1 t Y B Y 2 (p) 2 So, we can right

B is idempotent of rank p

P t BP = since the eigenvalues of B are all zeros and ones.

Ip 0 0 0

Applying P t to the left and P to the right of both sides of B = B 1 + B2 , we get P t BP = P t B1 P + P t B2 P Now (some linear algebra facts...for you to verify or look up) B1 and B2 are positive denite P t B1 P and P t B2 P are positive denite all entries on the diagonal of P t B1 P and P t B2 P are 0 positive denite if an element on the diagonal is zero, all other elements in that row and column are zero Therefore, we can write P t BP = P t B1 P + P t B2 P as Ip 0 0 0 Now = Gp 0 0 0 + Hp 0 0 0 (1)

1 t Y B Y 2 (p) 2

B1 is idempotent of rank p.

2 Therefore B1 = B1 which implies that

(P t B1 P )t = P t B1 P =

Gp 0 0 0

So, multiplying (1) on the left by P t B1 P gives Gp 0 0 0 or P t B1 P = P t B1 P + (P t B1 P )(P t B2 P ) 0 = (P t B1 P )(P t B2 P ) = P t B1 B2 P Therefore Q1 and Q2 are independent. B1 B2 = 0. = Gp 0 0 0 + Gp Hp 0 0 0

With this independence, the prrof of the second property given in this theorem is easy. Suppose Q = Q 1 + Q2 , Using moment generating functions: MQ/2 (t) = MQ1 /2 +Q2 /2 (t) = MQ1 (t) MQ2 (t). So, MQ2 /2 (t) = MQ/2 (t) (1 2t)r/2 = = (1 2t)(rr1 )/2 MQ1 /2 (t) (1 2t)r1 /2 Q2 / 2 2 (r r1 ).
indep

Q/ 1 2 (r), Q1 / 1 2 (r1 )

Corollary: If X1 2 (r1 ) and X2 2 (r2 ) are independent random variables with r 1 > r2 , then X1 X2 2 (r1 r2 ).