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Lecture 5 (Bivariate ND & Error Ellipses)

Lecture 5 (Bivariate ND & Error Ellipses)

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Published by: Kismet on Mar 23, 2008
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1
BivariateNormal Distributionand Error Ellipses
BivariateNormal Distribution
Joint distribution of two randomvariablesVery useful when dealing with planimetric(x,y) positions in surveyingDensity function is a bell-shaped surfacecentered at x = µ
x
and y = µ
y
BivariateDensity FunctionBivariateDensity Function
The joint density function of two random variables (Xand Y) which have a bivariatenormal distribution is:where:µ
x
and σ
x
= mean and standard deviation of Xµ
y
and σ
y
= mean and standard deviation of Yρ= correlation coefficient of X and Y
2222
11(,)exp22(1)21
   = +      
 y y x x x x y y x y
 y y x x f x y
µ µ µ µ  ρ  ρ σ σ σ σ πσ σ ρ 
=
xy x y
σ  ρ σ σ 
Marginal Density Functions
Density functions for X and YComponents of the bivariatenormal distribution at theX and Y axesThe same as the usual density functions for individualnormally distributed random variables
22
11()exp2211()exp22
= =
 x x x y y y
 x f x y f y
µ σ σ π µ σ σ π 
Cutting Ellipse/Ellipse of Intersection
When a plane parallel to the x,ycoordinate plane cutsthe bivariatedensity surface at a height K, an ellipse isformedThe equation of this ellipse is: (obtained by makingf(x,y) = K)where:
2222
2(1)
   + =       
 y y x x x x y y
 y y x xc
µ µ µ µ  ρ ρ σ σ σ σ 
1222222
ln4(1)a constant
= =
 x y
c
π σ σ ρ 
 
2
Example
The parameters of a bivariatenormal distributionare µ
x
= 4, µ
y
= 5, σ
x
= 1, σ
y
= 0.5, and ρ
xy
= 0.5.A plane intersects the density function at K = 0.1above the x,ycoordinate plane. Evaluate theellipse of intersection.
Solution
The equation of the ellipse is:Simplifying,
122222222
ln4(0.1)(1)(0.5)(1(0.5))2.60(1)(10.25)(2.60)1.95
= == =
cc
π  ρ 
22
44552(0.5)1.95110.50.5
+ =
 x x y y
22
(4)2(4)(5)4(5)1.95
− − − + − =
 x x y y
Error Ellipse
Produced when the bivariateprobabilitydistribution is centered at the origin (µ
x
= µ
y
= 0)
This equation is used if we want to represent the
random errors
only
2222
11(,)exp22(1)21
= +
 x x y y x y
 x x y y f x y
ρ  ρ σ σ σ σ πσ σ ρ 
Error Ellipse
The corresponding equation for the cuttingellipse in this case would be:
This equation represents a family of error ellipses centered on the origin
2222
2(1)
+ =
 x x y y
 x x y yc
 ρ ρ σ σ σ σ 
Standard Error Ellipse
When c=1, we get the equation of the
 standard error ellipse
:Represents the area of uncertainty for the locationof a control pointSize, shape, and orientation of a standard erroellipse are governed by the parameters σ
x
, σ
y
, andρ.
222
2(1)
+ =
 x x y y
 x x y y
 ρ ρ σ σ σ σ 
The Standard Error Ellipse
 
3
Sample variants of the standard error ellipse (by varying the parameters)
Standard Error Ellipse
In general, the principal axes (x’ and y’)do not coincide with the coordinate axes(x and y)The major axis of the ellipse (x’) makesan angle θwith respect to the x-axis
Positional Errors
A positional error is expressed in thex,ycoordinate system by the randomvector The same positional error is expressedin the x’,y’ coordinate system by therandom vector 
 X 
 X 
Orthogonal (Rotational) Transformation
The two vectors can be related by the equation:θis the angle of rotationTransformations from one coordinate system tothe other can be made using the above equation
correlated errors may be transformed touncorrelated errors using the equation
cossinsincos
=
 X Y
θ θ θ θ 
Covariance Matrices
The covariance matrices for the randomvectors are:
X’and Y’are uncorrelated (they are the principal axes of the ellipse)
 X 
 X 
22
 x xy xy y
σ σ σ σ 
22
00
 x y
σ σ 
Covariance Matrices
Recall:Applying this to the vector relationship, we get:Solving the matrix:
 yy xx
 A A
Σ = Σ
2222
0cossincossin0sincossincos
 x x xy y xy y
σ σ σ θ θ θ θ σ σ σ θ θ θ θ 
=
22222222222222
cos2sincossinsin2sincoscos0()sincos(cossin)
 x x xy y y x xy y y x xy
σ σ θ σ θ θ σ θ σ σ θ σ θ θ σ θ σ σ θ θ σ θ θ 
= + += + += +
Eq. 1Eq. 2Eq. 3

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