Here we show the classical example on how the normal, chi-squared, and gamma distributions are related. If \(Z_1, \ldots, Z_n\) are i.i.d. variables with the standard normal distribution, then \(\sum_{i=1}^n Z_i \sim \chi^2_n\). Let \(X_1, \ldots, X_n \sim \text{Normal}(\mu, \sigma^2)\)…