 Chi-bar-squared distribution

A chi-bar-squared distribution is a mixture distribution ${\sum }_{j=0}^m{w}_j{\chi }_j^2$, where $w_j\ge 0$ and ${\sum }_j{w}_j=1$, and ${\chi }_0^2$ denotes a point mass at zero. It arises when a Gaussian likelihood is optimized under inequality constraints: projection onto a constraint cone selects different dimensions according to which inequalities are active. For example, if $W,Z$ are independent standard Gaussian random variables, then $Z^2+(-W{)}_{+}^2$ has distribution $\frac{1}{2}{\chi }_1^2+\frac{1}{2}{\chi }_2^2$. On $W\ge 0$ it is $Z^2$; on $W<0$ it is $Z^2+W^2$. Symmetry makes the sign of $W$ independent of $W^2$, proving the stated weights and component laws.