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quadratic forms in multiple dimensions

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

Orthogonal projections of multidimensional ellipsoids – IV – the relation to a Schur complement of the quadratic form matrix

The first three posts in this series showed that the orthogonal projection of a (n-1)-dimensional ellipsoid from a n-dimensional Euclidean space to a (n-1)-dimensional subspace has a surface which is a (n-2)-dimensional ellipsoid. In this fourth post we will extend our insights to projections down onto a p-dimensional sub-spaces with 1 ≤ p < n. The sub-space has a (n-p)-dimensional… Read More »Orthogonal projections of multidimensional ellipsoids – IV – the relation to a Schur complement of the quadratic form matrix

orthogonal projections of ellipsoid

Orthogonal projections of multidimensional ellipsoids – I – points on the ellipsoid that give us the surface points of the projection

In the mathematical section of this blog we deal with the geometry of Multivariate Normal Distributions [MVNs]. We found that the contour surfaces of MVNs are multidimensional ellipsoids given by quadratic forms of their constituting vectors. We have identified the variance-covariance matrix of a MVN as the inverse matrix mediating the required quadratic form. We also considered ellipsoidal cores of… Read More »Orthogonal projections of multidimensional ellipsoids – I – points on the ellipsoid that give us the surface points of the projection