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MVN

Orthogonal projections of multidimensional ellipsoids – V – relation between the inverse matrices of the involved quadratic forms and of respective covariance matrices

This series started with four main questions. The first two were: How do we know that an orthogonal projection of a (n-1)-dimensional ellipsoid from its n-dimensional vector space onto a lower p-dimensional sub-space leads to yet another ellipsoid? And how can we derive the matrix defining the quadratic form of the resulting lower dimensional ellipsoid from the matrix describing the… Read More »Orthogonal projections of multidimensional ellipsoids – V – relation between the inverse matrices of the involved quadratic forms and of respective covariance matrices

3-dim projections of 4-dim MVN

n-dimensional spheres and ellipsoids – IV – numerical check of Rivin’s formula for the surface areas of ellipsoids in 3 dimensions and the perimeters of ellipses

In the third post of this series we have discussed an idea of I. Rivin (see [1], [2]). Rivin has shown that the surface area of a general (n-1)-dimensional ellipsoid in a n-dimensional Euclidean space can be expressed in terms of an expectation value of a specific function weighted by a multivariate Gaussian probability density [pdf]. In contrast to (n-1)-spheres… Read More »n-dimensional spheres and ellipsoids – IV – numerical check of Rivin’s formula for the surface areas of ellipsoids in 3 dimensions and the perimeters of ellipses

Covariance matrix of a cut-off Multivariate Normal Distribution – IV – theoretical prediction for a 3-dimensional MVN-core

In this post series we study ellipsoidal cores of Multivariate Normal Distributions [MVNs]. We defined a “core” as the volume enclosed by a selected contour surface of constant probability density. We constructed cut-off distributions by setting the probability density to zero outside the core. In previous posts we have already discussed volume integrals which would give us a relation between… Read More »Covariance matrix of a cut-off Multivariate Normal Distribution – IV – theoretical prediction for a 3-dimensional MVN-core

Concentric surfaces of ellipsoids

n-dimensional spheres and ellipsoids – II – volume of n-ellipsoids

This post series provides some insights into the nature of n-dimensional spheres and ellipsoids and the derivation of some special integrals over their volumes. In this 2nd post we look at the volume of a “(n-1)–ellipsoid“. This term refers to a closed ellipsoidal surface in a n-dimensional Euclidean space. Such a surface is a (n-1)-dimensional manifold. See the 1st post… Read More »n-dimensional spheres and ellipsoids – II – volume of n-ellipsoids