Density Function of Weighted Sum of Chi-Square Variables with Trigonometric Weights

Abstract: We have investigated a weighted chi-square distribution of the variable $\xi$ which is a weighted sum of squared normally distributed independent variables whose weights are cosines of angles $\phi_k=2\pi k/N$, where $k \in {0,1,...,N-1}$ and $N$ is the number of the freedom degrees. We have found the exact expression for the density function of this distribution and its approximation for large $N$. The distribution is compared with the Gaussian distribution.