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Multivariate normal distribution

About: Multivariate normal distribution is a(n) research topic. Over the lifetime, 8304 publication(s) have been published within this topic receiving 324203 citation(s). The topic is also known as: multivariate Gaussian distribution & joint normal distribution.
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Book
01 Jan 1982-
Abstract: (NOTE: Each chapter begins with an Introduction, and concludes with Exercises and References.) I. GETTING STARTED. 1. Aspects of Multivariate Analysis. Applications of Multivariate Techniques. The Organization of Data. Data Displays and Pictorial Representations. Distance. Final Comments. 2. Matrix Algebra and Random Vectors. Some Basics of Matrix and Vector Algebra. Positive Definite Matrices. A Square-Root Matrix. Random Vectors and Matrices. Mean Vectors and Covariance Matrices. Matrix Inequalities and Maximization. Supplement 2A Vectors and Matrices: Basic Concepts. 3. Sample Geometry and Random Sampling. The Geometry of the Sample. Random Samples and the Expected Values of the Sample Mean and Covariance Matrix. Generalized Variance. Sample Mean, Covariance, and Correlation as Matrix Operations. Sample Values of Linear Combinations of Variables. 4. The Multivariate Normal Distribution. The Multivariate Normal Density and Its Properties. Sampling from a Multivariate Normal Distribution and Maximum Likelihood Estimation. The Sampling Distribution of 'X and S. Large-Sample Behavior of 'X and S. Assessing the Assumption of Normality. Detecting Outliners and Data Cleaning. Transformations to Near Normality. II. INFERENCES ABOUT MULTIVARIATE MEANS AND LINEAR MODELS. 5. Inferences About a Mean Vector. The Plausibility of ...m0 as a Value for a Normal Population Mean. Hotelling's T 2 and Likelihood Ratio Tests. Confidence Regions and Simultaneous Comparisons of Component Means. Large Sample Inferences about a Population Mean Vector. Multivariate Quality Control Charts. Inferences about Mean Vectors When Some Observations Are Missing. Difficulties Due To Time Dependence in Multivariate Observations. Supplement 5A Simultaneous Confidence Intervals and Ellipses as Shadows of the p-Dimensional Ellipsoids. 6. Comparisons of Several Multivariate Means. Paired Comparisons and a Repeated Measures Design. Comparing Mean Vectors from Two Populations. Comparison of Several Multivariate Population Means (One-Way MANOVA). Simultaneous Confidence Intervals for Treatment Effects. Two-Way Multivariate Analysis of Variance. Profile Analysis. Repealed Measures, Designs, and Growth Curves. Perspectives and a Strategy for Analyzing Multivariate Models. 7. Multivariate Linear Regression Models. The Classical Linear Regression Model. Least Squares Estimation. Inferences About the Regression Model. Inferences from the Estimated Regression Function. Model Checking and Other Aspects of Regression. Multivariate Multiple Regression. The Concept of Linear Regression. Comparing the Two Formulations of the Regression Model. Multiple Regression Models with Time Dependant Errors. Supplement 7A The Distribution of the Likelihood Ratio for the Multivariate Regression Model. III. ANALYSIS OF A COVARIANCE STRUCTURE. 8. Principal Components. Population Principal Components. Summarizing Sample Variation by Principal Components. Graphing the Principal Components. Large-Sample Inferences. Monitoring Quality with Principal Components. Supplement 8A The Geometry of the Sample Principal Component Approximation. 9. Factor Analysis and Inference for Structured Covariance Matrices. The Orthogonal Factor Model. Methods of Estimation. Factor Rotation. Factor Scores. Perspectives and a Strategy for Factor Analysis. Structural Equation Models. Supplement 9A Some Computational Details for Maximum Likelihood Estimation. 10. Canonical Correlation Analysis Canonical Variates and Canonical Correlations. Interpreting the Population Canonical Variables. The Sample Canonical Variates and Sample Canonical Correlations. Additional Sample Descriptive Measures. Large Sample Inferences. IV. CLASSIFICATION AND GROUPING TECHNIQUES. 11. Discrimination and Classification. Separation and Classification for Two Populations. Classifications with Two Multivariate Normal Populations. Evaluating Classification Functions. Fisher's Discriminant Function...nSeparation of Populations. Classification with Several Populations. Fisher's Method for Discriminating among Several Populations. Final Comments. 12. Clustering, Distance Methods and Ordination. Similarity Measures. Hierarchical Clustering Methods. Nonhierarchical Clustering Methods. Multidimensional Scaling. Correspondence Analysis. Biplots for Viewing Sample Units and Variables. Procustes Analysis: A Method for Comparing Configurations. Appendix. Standard Normal Probabilities. Student's t-Distribution Percentage Points. ...c2 Distribution Percentage Points. F-Distribution Percentage Points. F-Distribution Percentage Points (...a = .10). F-Distribution Percentage Points (...a = .05). F-Distribution Percentage Points (...a = .01). Data Index. Subject Index.

11,666 citations


Book
14 Sep 1984-
Abstract: Preface to the Third Edition.Preface to the Second Edition.Preface to the First Edition.1. Introduction.2. The Multivariate Normal Distribution.3. Estimation of the Mean Vector and the Covariance Matrix.4. The Distributions and Uses of Sample Correlation Coefficients.5. The Generalized T2-Statistic.6. Classification of Observations.7. The Distribution of the Sample Covariance Matrix and the Sample Generalized Variance.8. Testing the General Linear Hypothesis: Multivariate Analysis of Variance9. Testing Independence of Sets of Variates.10. Testing Hypotheses of Equality of Covariance Matrices and Equality of Mean Vectors and Covariance Matrices.11. Principal Components.12. Cononical Correlations and Cononical Variables.13. The Distributions of Characteristic Roots and Vectors.14. Factor Analysis.15. Pattern of Dependence Graphical Models.Appendix A: Matrix Theory.Appendix B: Tables.References.Index.

9,680 citations


Book
01 Jan 1976-
Abstract: A text designed to make multivariate techniques available to behavioural, social, biological and medical students. Special features include an approach to multivariate inference based on the union-intersection and generalized likelihood ratio principles.

5,797 citations


Journal ArticleDOI
Abstract: A common concern when faced with multivariate data with missing values is whether the missing data are missing completely at random (MCAR); that is, whether missingness depends on the variables in the data set. One way of assessing this is to compare the means of recorded values of each variable between groups defined by whether other variables in the data set are missing or not. Although informative, this procedure yields potentially many correlated statistics for testing MCAR, resulting in multiple-comparison problems. This article proposes a single global test statistic for MCAR that uses all of the available data. The asymptotic null distribution is given, and the small-sample null distribution is derived for multivariate normal data with a monotone pattern of missing data. The test reduces to a standard t test when the data are bivariate with missing data confined to a single variable. A limited simulation study of empirical sizes for the test applied to normal and nonnormal data suggests th...

4,890 citations


Book
01 Jun 1970-
Abstract: Foreword.Preface.PART ONE. SURVEY OF PROBABILITY THEORY.Chapter 1. Introduction.Chapter 2. Experiments, Sample Spaces, and Probability.2.1 Experiments and Sample Spaces.2.2 Set Theory.2.3 Events and Probability.2.4 Conditional Probability.2.5 Binomial Coefficients.Exercises.Chapter 3. Random Variables, Random Vectors, and Distributions Functions.3.1 Random Variables and Their Distributions.3.2 Multivariate Distributions.3.3 Sums and Integrals.3.4 Marginal Distributions and Independence.3.5 Vectors and Matrices.3.6 Expectations, Moments, and Characteristic Functions.3.7 Transformations of Random Variables.3.8 Conditional Distributions.Exercises.Chapter 4. Some Special Univariate Distributions.4.1 Introduction.4.2 The Bernoulli Distributions.4.3 The Binomial Distribution.4.4 The Poisson Distribution.4.5 The Negative Binomial Distribution.4.6 The Hypergeometric Distribution.4.7 The Normal Distribution.4.8 The Gamma Distribution.4.9 The Beta Distribution.4.10 The Uniform Distribution.4.11 The Pareto Distribution.4.12 The t Distribution.4.13 The F Distribution.Exercises.Chapter 5. Some Special Multivariate Distributions.5.1 Introduction.5.2 The Multinomial Distribution.5.3 The Dirichlet Distribution.5.4 The Multivariate Normal Distribution.5.5 The Wishart Distribution.5.6 The Multivariate t Distribution.5.7 The Bilateral Bivariate Pareto Distribution.Exercises.PART TWO. SUBJECTIVE PROBABILITY AND UTILITY.Chapter 6. Subjective Probability.6.1 Introduction.6.2 Relative Likelihood.6.3 The Auxiliary Experiment.6.4 Construction of the Probability Distribution.6.5 Verification of the Properties of a Probability Distribution.6.6 Conditional Likelihoods.Exercises.Chapter 7. Utility.7.1 Preferences Among Rewards.7.2 Preferences Among Probability Distributions.7.3 The Definitions of a Utility Function.7.4 Some Properties of Utility Functions.7.5 The Utility of Monetary Rewards.7.6 Convex and Concave Utility Functions.7.7 The Anxiomatic Development of Utility.7.8 Construction of the Utility Function.7.9 Verification of the Properties of a Utility Function.7.10 Extension of the Properties of a Utility Function to the Class ?E.Exercises.PART THREE. STATISTICAL DECISION PROBLEMS.Chapter 8. Decision Problems.8.1 Elements of a Decision Problem.8.2 Bayes Risk and Bayes Decisions.8.3 Nonnegative Loss Functions.8.4 Concavity of the Bayes Risk.8.5 Randomization and Mixed Decisions.8.6 Convex Sets.8.7 Decision Problems in Which ~2 and D Are Finite.8.8 Decision Problems with Observations.8.9 Construction of Bayes Decision Functions.8.10 The Cost of Observation.8.11 Statistical Decision Problems in Which Both ? and D contains Two Points.8.12 Computation of the Posterior Distribution When the Observations Are Made in More Than One Stage.Exercises.Chapter 9. Conjugate Prior Distributions.9.1 Sufficient Statistics.9.2 Conjugate Families of Distributions.9.3 Construction of the Conjugate Family.9.4 Conjugate Families for Samples from Various Standard Distributions.9.5 Conjugate Families for Samples from a Normal Distribution.9.6 Sampling from a Normal Distribution with Unknown Mean and Unknown Precision.9.7 Sampling from a Uniform Distribution.9.8 A Conjugate Family for Multinomial Observations.9.9 Conjugate Families for Samples from a Multivariate Normal Distribution.9.10 Multivariate Normal Distributions with Unknown Mean Vector and Unknown Precision matrix.9.11 The Marginal Distribution of the Mean Vector.9.12 The Distribution of a Correlation.9.13 Precision Matrices Having an Unknown Factor.Exercises.Chapter 10. Limiting Posterior Distributions.10.1 Improper Prior Distributions.10.2 Improper Prior Distributions for Samples from a Normal Distribution.10.3 Improper Prior Distributions for Samples from a Multivariate Normal Distribution.10.4 Precise Measurement.10.5 Convergence of Posterior Distributions.10.6 Supercontinuity.10.7 Solutions of the Likelihood Equation.10.8 Convergence of Supercontinuous Functions.10.9 Limiting Properties of the Likelihood Function.10.10 Normal Approximation to the Posterior Distribution.10.11 Approximation for Vector Parameters.10.12 Posterior Ratios.Exercises.Chapter 11. Estimation, Testing Hypotheses, and linear Statistical Models.11.1 Estimation.11.2 Quadratic Loss.11.3 Loss Proportional to the Absolute Value of the Error.11.4 Estimation of a Vector.11.5 Problems of Testing Hypotheses.11.6 Testing a Simple Hypothesis About the Mean of a Normal Distribution.11.7 Testing Hypotheses about the Mean of a Normal Distribution.11.8 Deciding Whether a Parameter Is Smaller or larger Than a Specific Value.11.9 Deciding Whether the Mean of a Normal Distribution Is Smaller or larger Than a Specific Value.11.10 Linear Models.11.11 Testing Hypotheses in Linear Models.11.12 Investigating the Hypothesis That Certain Regression Coefficients Vanish.11.13 One-Way Analysis of Variance.Exercises.PART FOUR. SEQUENTIAL DECISIONS.Chapter 12. Sequential Sampling.12.1 Gains from Sequential Sampling.12.2 Sequential Decision Procedures.12.3 The Risk of a Sequential Decision Procedure.12.4 Backward Induction.12.5 Optimal Bounded Sequential Decision procedures.12.6 Illustrative Examples.12.7 Unbounded Sequential Decision Procedures.12.8 Regular Sequential Decision Procedures.12.9 Existence of an Optimal Procedure.12.10 Approximating an Optimal Procedure by Bounded Procedures.12.11 Regions for Continuing or Terminating Sampling.12.12 The Functional Equation.12.13 Approximations and Bounds for the Bayes Risk.12.14 The Sequential Probability-ratio Test.12.15 Characteristics of Sequential Probability-ratio Tests.12.16 Approximating the Expected Number of Observations.Exercises.Chapter 13. Optimal Stopping.13.1 Introduction.13.2 The Statistician's Reward.13.3 Choice of the Utility Function.13.4 Sampling Without Recall.13.5 Further Problems of Sampling with Recall and Sampling without Recall.13.6 Sampling without Recall from a Normal Distribution with Unknown Mean.13.7 Sampling with Recall from a Normal Distribution with Unknown Mean.13.8 Existence of Optimal Stopping Rules.13.9 Existence of Optimal Stopping Rules for Problems of Sampling with Recall and Sampling without Recall.13.10 Martingales.13.11 Stopping Rules for Martingales.13.12 Uniformly Integrable Sequences of Random Variables.13.13 Martingales Formed from Sums and Products of Random Variables.13.14 Regular Supermartingales.13.15 Supermartingales and General Problems of Optimal Stopping.13.16 Markov Processes.13.17 Stationary Stopping Rules for Markov Processes.13.18 Entrance-fee Problems.13.19 The Functional Equation for a Markov Process.Exercises.Chapter 14. Sequential Choice of Experiments.14.1 Introduction.14.2 Markovian Decision Processes with a Finite Number of Stages.14.3 Markovian Decision Processes with an Infinite Number of Stages.14.4 Some Betting Problems.14.5 Two-armed-bandit Problems.14.6 Two-armed-bandit Problems When the Value of One Parameter Is Known.14.7 Two-armed-bandit Problems When the Parameters Are Dependent.14.8 Inventory Problems.14.9 Inventory Problems with an Infinite Number of Stages.14.10 Control Problems.14.11 Optimal Control When the Process Cannot Be Observed without Error.14.12 Multidimensional Control Problems.14.13 Control Problems with Actuation Errors.14.14 Search Problems.14.15 Search Problems with Equal Costs.14.16 Uncertainty Functions and Statistical Decision Problems.14.17 Sufficient Experiments.14.18 Examples of Sufficient Experiments.Exercises.References.Supplementary Bibliography.Name Index.Subject Index.

4,255 citations


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No. of papers in the topic in previous years
YearPapers
20227
2021273
2020326
2019259
2018241
2017291

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Topic's top 5 most impactful authors

Narayanaswamy Balakrishnan

37 papers, 1.1K citations

Arjun K. Gupta

37 papers, 989 citations

Muni S. Srivastava

35 papers, 1.3K citations

Saralees Nadarajah

25 papers, 525 citations

Tatsuya Kubokawa

22 papers, 176 citations