AP Statistics Curriculum 2007 MultivariateNormal

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=== Definition===
=== Definition===
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In k-dimensions, a random vector <math>X = (X<sub>1</sub>, \cdots, X<sub>k</sub>)</math> is multivariate normally distributed if it satisfies any one of the following ''equivalent'' conditions <ref>Gut, Allan: An Intermediate Course in Probability, Springer 2009, chapter 5, http://books.google.com/books?id=ufxMwdtrmOAC, ISBN 9781441901613</ref>:
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In k-dimensions, a random vector <math>X = (X_1, \cdots, X_k)</math> is multivariate normally distributed if it satisfies any one of the following ''equivalent'' conditions <ref>Gut, Allan: An Intermediate Course in Probability, Springer 2009, chapter 5, http://books.google.com/books?id=ufxMwdtrmOAC, ISBN 9781441901613</ref>:
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* Every linear combination of its components ''Y''&nbsp;=&nbsp;''a''<sub>1</sub>''X''<sub>1</sub> + … + ''a<sub>k</sub>X<sub>k</sub>'' is [[AP_Statistics_Curriculum_2007_Normal_Prob|normally distributed]]. In other words, for any constant vector {{nowrap|''a'' ∈ '''R'''<sup>''k''</sup>}}, the linear combination (which is univariate random variable) <math>Y = a′X = \sum_{i=1,\cdots,k}{a_iX_i}</math> has a univariate normal distribution.
+
* Every linear combination of its components ''Y''&nbsp;=&nbsp;''a''<sub>1</sub>''X''<sub>1</sub> + … + ''a<sub>k</sub>X<sub>k</sub>'' is [[AP_Statistics_Curriculum_2007_Normal_Prob|normally distributed]]. In other words, for any constant vector <math>a\in R^k</math>, the linear combination (which is univariate random variable) <math>Y = a^TX = \sum_{i=1}^{k}{a_iX_i}</math> has a univariate normal distribution.
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* There exists a random ''ℓ''-vector ''Z'', whose components are independent normal random variables, a ''k''-vector ''μ'', and a ''k×ℓ'' [[matrix (math)|matrix]] ''A'', such that {{nowrap|1=''X'' = ''AZ'' + ''μ''}}. Here ''ℓ'' is the ''rank'' of the covariance matri
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* There exists a random ''ℓ''-vector ''Z'', whose components are independent normal random variables, a ''k''-vector ''μ'', and a ''k×ℓ'' matrix ''A'', such that <math>X = AZ + \mu</math>. Here ''ℓ'' is the ''rank'' of the variance-covariance matrix.
* There is a ''k''-vector ''μ'' and a symmetric, nonnegative-definite ''k×k'' matrix Σ, such that the characteristic function of ''X'' is  
* There is a ''k''-vector ''μ'' and a symmetric, nonnegative-definite ''k×k'' matrix Σ, such that the characteristic function of ''X'' is  
: <math>
: <math>
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     \varphi_X(u) = \exp\Big( iu'\mu - \tfrac{1}{2} u'\Sigma u \Big).
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     \varphi_X(u) = \exp\Big( iu^T\mu - \tfrac{1}{2} u^T\Sigma u \Big).
   </math>
   </math>

Revision as of 05:15, 14 December 2010

Contents

EBook - Multivariate Normal Distribution

The multivariate normal distribution, or multivariate Gaussian distribution, is a generalization of the univariate (one-dimensional) normal distribution to higher dimensions. A random vector is said to be multivariate normally distributed if every linear combination of its components has a univariate normal distribution. The multivariate normal distribution may be used to study different associations (e.g., correlations) between real-valued random variables.

Definition

In k-dimensions, a random vector X = (X_1, \cdots, X_k) is multivariate normally distributed if it satisfies any one of the following equivalent conditions <ref>Gut, Allan: An Intermediate Course in Probability, Springer 2009, chapter 5, http://books.google.com/books?id=ufxMwdtrmOAC, ISBN 9781441901613</ref>:

  • Every linear combination of its components Y = a1X1 + … + akXk is normally distributed. In other words, for any constant vector a\in R^k, the linear combination (which is univariate random variable) Y = a^TX = \sum_{i=1}^{k}{a_iX_i} has a univariate normal distribution.
  • There exists a random -vector Z, whose components are independent normal random variables, a k-vector μ, and a k×ℓ matrix A, such that X = AZ + μ. Here is the rank of the variance-covariance matrix.
  • There is a k-vector μ and a symmetric, nonnegative-definite k×k matrix Σ, such that the characteristic function of X is

    \varphi_X(u) = \exp\Big( iu^T\mu - \tfrac{1}{2} u^T\Sigma u \Big).
  • When the support of X is the entire space Rk, there exists a k-vector μ and a symmetric positive-definite k×k variance-covariance matrix Σ, such that the probability density function of X can be expressed as

    f_X(x) = \frac{1}{ (2\pi)^{k/2}|\Sigma|^{1/2} }
             \exp\!\Big( {-\tfrac{1}{2}}(x-\mu)'\Sigma^{-1}(x-\mu) \Big),

where |Σ| is the determinant of Σ, and where (2π)k/2|Σ|1/2 = |2πΣ|1/2. This formulation reduces to the density of the univariate normal distribution if Σ is a scalar (i.e., a 1×1 matrix).

If the variance-covariance matrix is singular, the corresponding distribution has no density. An example of this case is the distribution of the vector of residual-errors in the ordinary least squares regression. Note also that the Xi are in general not independent; they can be seen as the result of applying the matrix A to a collection of independent Gaussian variables Z.

Bivariate (2D) case

In 2-dimensions, the nonsingular bi-variate Normal distribution with (Template:Nowrap), the probability density function of a (bivariate) vector Template:Nowrap is


    f(x,y) =
      \frac{1}{2 \pi  \sigma_x \sigma_y \sqrt{1-\rho^2}}
      \exp\left(
        -\frac{1}{2(1-\rho^2)}\left[
          \frac{(x-\mu_x)^2}{\sigma_x^2} +
          \frac{(y-\mu_y)^2}{\sigma_y^2} -
          \frac{2\rho(x-\mu_x)(y-\mu_y)}{\sigma_x \sigma_y}
        \right]
      \right),

where ρ is the correlation between X and Y. In this case,


    \mu = \begin{pmatrix} \mu_x \\ \mu_y \end{pmatrix}, \quad
    \Sigma = \begin{pmatrix} \sigma_x^2 & \rho \sigma_x \sigma_y \\
                             \rho \sigma_x \sigma_y  & \sigma_y^2 \end{pmatrix}.

In the bivariate case, the first equivalent condition for multivariate normality is less restrictive: it is sufficient to verify that countably many distinct linear combinations of X and Y are normal in order to conclude that the vector Template:Nowrap is bivariate normal.

Properties

Normally distributed and independent

If X and Y are normally distributed and independent, this implies they are "jointly normally distributed", hence, the pair (XY) must have bivariate normal distribution. However, a pair of jointly normally distributed variables need not be independent - they could be correlated.

Two normally distributed random variables need not be jointly bivariate normal

The fact that two random variables X and Y both have a normal distribution does not imply that the pair (XY) has a joint normal distribution. A simple example is one in which X has a normal distribution with expected value 0 and variance 1, and Y = X if |X| > c and Y = −X if |X| < c, where c is about 1.54.


Problems


References




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