On the Trivariate Non-Central Chi-Squared Distribution

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In this paper, we derive a new infinite series representation for the trivariate non-central chi-squared distribution when the underlying correlated Gaussian variables have tridiagonal form of inverse covariance matrix. We make use of the Miller's approach and the Dougall's identity to derive the joint density function. Moreover, the trivariate cumulative distribution function (cdf) and characteristic function (chf) are also derived. Finally, bivariate noncentral chi-squared distribution and some known forms are shown to be special cases of the more general distribution. However, non-central chi-squared distribution for an arbitrary covariance matrix seems intractable with the Miller's approach.