A Special Distributional Result for Bilinear Forms.

Necessary and sufficient conditions are given such that a quadratic form has moment generating function Eexp tUBU 1-t-squared -r4 power for abs. val. t 1 with U approx. N sub k mu, Sigma and Sigma positive definite. An important corrollary gives conditions under which the bilinear form XAY involving two different multivariate normal random vectors of not necessarily the same dimensions has the same distribution as the sum of independent random variables, each having the LaPlace double exponential distribution. Author