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variance-covariance matrix

3-dim projections of 4-dim MVN

Covariance matrix of a cut-off Multivariate Normal Distribution – II – integrals over volume and surface of an n-dimensional sphere

In the 1st post of this series, we have posed the following problem: Take the probability density of a Multivariate Normal Distribution [MVN], but set it to zero at Mahalanobis distances bigger than a finite Mahalanobis distance D. Take a respective volume region enclosed by a contour surface of constant probability density, for a Mahalanobis distance dm ≤ D. We… Read More »Covariance matrix of a cut-off Multivariate Normal Distribution – II – integrals over volume and surface of an n-dimensional sphere

Contour ellipses from Cholesky decomp ot various covariance matrices

Bivariate Normal Distributions – parameterization of contour ellipses in terms of the Mahalanobis distance and an angle

In my last post about Bivariate Normal Distributions [BVD] I have discussed why contour lines of a BVD’s probability density function [pdf] are concentric ellipses. These contour ellipses are defined by constant values of the so called Mahalanobis distance. In addition, I have discussed a method to create these ellipses from values of the elements of the BVD’s (variance-) covariance… Read More »Bivariate Normal Distributions – parameterization of contour ellipses in terms of the Mahalanobis distance and an angle

Bivariate Normal Distribution

Bivariate normal distribution – derivation by linear transformation of a random vector of two independent Gaussians

In an another post on properties of a Bivariate Normal Distribution [BVD] I have motivated the form of its probability density function [pdf] by symmetry arguments and the underlying probability density functions of its marginals, namely 1-dimensional Gaussians. In this post we will derive the probability density function by following the line of argumentation for a general Multivariate Normal Distribution… Read More »Bivariate normal distribution – derivation by linear transformation of a random vector of two independent Gaussians

contour ellipsoids of a projected MND

Multivariate Normal Distributions – I – Basics and a random vector of independent Gaussians

This post series is about mathematical aspects of so called “Multivariate Normal Distributions“. In respective literature two abbreviations are common: MNDs or MVNs. I will use both synonymously. To get an easy access, I want to introduce a MND as the result of a linear transformations applied to random vectors whose components can be described by independent 1-dimensional normal distributions.… Read More »Multivariate Normal Distributions – I – Basics and a random vector of independent Gaussians