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Multivariate Normal
Multivariate Normal
1
Multivariate Normal Distribution
• Density of Normal Distribution
¾ univariate case: normal density
¾ multivariate case:
the term
is a distance measure
p. 2
¾ Example: bivariate normal density
What if |ρ12|
increase?
when
) p. 4
when σ1=σ2, ρ≠0, the major/minor axis of the ellipse is parallel to x1=x2 or x1=−x2
contour of Normal pdf is an ellipse because it can be expressed as (x−μ)T∑−1(x−μ)=c
p. 5
¾ Q: why normal?
While real data are never exactly multivariate normal, the normal density is
often a useful approximation to the “true” population distribution
The multivariate normal density is mathematically tractable and “nice”
results can be obtained
The distribution of many multivariate statistics are approximately normal,
regardless of the form of the parent population because of a central limit
effect
• Some properties of multivariate normal distribution
NTHU STAT 5191, 2010, Lecture Notes
made by S.-W. Cheng (NTHU, Taiwan) p. 3-12
¾
Σ1/2 Z + μ
p. 6
¾
p. 3-14
X1
Note. Suppose that X1 and X2 are multivariate normal. X = may
X2
not be a multivariate normal.
¾
p. 7
p. 8
Example: conditional density of a bivariate normal distribution