The Multivariate Normal Distribution, Part 2

1. The Multivariate Normal Distribution, Part 2 BMTRY 726 1/14/2014

2. Multivariate Normal PDF • Recall the pdf for the MVN distribution • Where • x is a p-length vector of observed variables • m is also a p-length vector and E(x)=m • S is a pxp matrix, and Var(x)=S • Note, S must also be positive definite

3. Univariate and Bivariate Normal

4. Contours of Constant Density • Recall projections of f(x) onto the hyperplane created by x are called contours of constant density • Properties include: • P-dimensional ellipsoid defined by: • Centered at m • Axes lengths:

5. Bivariate Examples

6. Why Multivariate Normal • Recall, statisticians like the MVN distribution because… • Mathematically simple • Multivariate central limit theorem applies • Natural phenomena are often well approximated by a MVN distribution • So what are some “fun” mathematical properties that make is so nice?

7. Properties of MVN Result 4.2: If then has a univariate normal distribution with mean and variance

8. Example

9. Properties of MVN Result 4. 3: Any linear transformation of a multivatiate normal random vector has a normal distribution So if and and B is a k x p matrix of constants then

10. Spectral Decomposition Given S is a non-negative definite, symmetric, real matrix, then S can be decomposed according to: Where the eigenvalues are The eigenvectors of S are e1, e2,...,ep And these satisfy the expression

11. Where Recall that Then And

12. Definition: The square root of S is And Also

13. From this it follows that the inversesquare root of S is Note This leads us to the transformation to the canonical form: If

14. Marginal Distributions Result 4.4: Consider subsets of Xi’s in X. These subsets are also distributed (multivariate) normal. If Then the marginal distributions of X1 and X2 is

15. Example • Consider , find the marginal distribution of the 1st and 3rd components

16. Example • Consider , find the marginal distribution of the 1st and 3rd components

17. Marginal Distributions cont’d The converse of result 4.4 is not always true, an additional assumption is needed. Result 4.5(c): If… and X1 is independent of X2 then

18. Result 4. 5(a): If X1(qx1) and X2(p-qx1) are independent then Cov(X1,X2)= 0 (b) If Then X1(qx1) and X2(p-qx1) are independent iff

19. Example • Consider • Are x1 and x2independent of x3?

20. Conditional Distributions Result 4.6: Suppose Then the conditional distribution of X1 given that X2 = x2 is a normal distribution Note the covariance matrix does not depend on the value of x2

21. Proof of Result 4.6

22. Proof of Result 4.6

23. Multiple Regression Consider The conditional distribution of Y|X=x is univariate normal with

24. Example Consider find the conditional distribution of the 1st and 3rd components

25. Example

26. Example

27. Result 4.7: If and S is positive definite, then Proof:

28. Result 4.7: If and S is positive definite, then Proof cont’d:

29. Result 4.8: If are mutually independent with Then Where vector of constants And are n constants. Additionally if we have and which are r x pmatrices of constants we can also say

30. Sample Data • Let’s say that X1,X2, …, Xnare i.i.d. random vectors • If the data vectors are sampled from a MVN distribution then

31. Multivariate Normal Likelihood • We can also look at the joint likelihood of our random sample

32. Some needed Results (1) Given A > 0 and are eigenvalues of A (a) (b) (c) (2) From (c) we can show that:

33. Some needed Results (2) Proof that:

34. Some needed Results (2) Proof that:

35. Some needed Results (1) Given A > 0 and are eigenvalues of A (a) (b) (c) (2) From (c) we can show that: (3) Given Spxp> 0, Bpxp> 0 and scalar b > 0

36. MLE’s for .

37. MLE’s for .

38. MLE’s for .

39. Next Time • Sample means and covariance • The Wishart distribution • Introduction of some basic statistical tests