Weighted sum of squared normals question

From: Tom Diamond (thdiaman_at_gmail.com)
Date: 02/21/05 

Date: Mon, 21 Feb 2005 21:37:58 +0000 (UTC)

Hello,

I know that a sum of squared normals N(0,1) follows the chi-square
distribution with n degrees of freedom. What if the sum is weighted,
i.e. we have to add a1*x1^2 + a2*x2^2 + ... + aN*xN^2, where x1, x2,
..., xN are normals N(0,1)?

Tnx,

Tom.

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