The bivariate noncentral chi-square distribution – a compound distribution approach

Abstract

This paper proposes the bivariate noncentral chi-square (BNC) distribution by compounding the Poisson probabilities with the bivariate central chi-square distribution. The probability density and cumulative distribution functions of the joint distribution of the two noncentral chi-square variables are derived for arbitrary values of the correlation coefficient, degrees of freedom(s), and noncentrality parameters. Computational procedures to calculate the upper tail probabilities as well as the percentile points for selected values of the parameters, for both equal and unequal degrees of freedom, are discussed. The graphical representation of the distribution for different values of the parameters are provided. Some applications of the distribution are outlined.