I am trying to get the probability distribution function of the difference of two correlated chi-squared variable, Z=X−Y. Given that fX(x) and fY(y) are known, and both variables are chi-squaree distributed. X and Y have the same degree of freedom. lets assume that the mean and variance values for X and Y are μx,σ2x and μy and σ2y, respectively. the covariance between X and Y is σxy. So how can I calculate the variance and distribution of Z (fZ(z)). what if σ2y=σ2x?
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