The Multivariate Normal Distribution:Theory and Applications

Thu Pham-Gia
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Thu Pham-Gia: Université de Moncton, Canada

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book provides the reader with user-friendly applications of normal distribution. In several variables it is called the multinormal distribution which is often handled using matrices for convenience. The author seeks to make the arguments less abstract and hence, starts with the univariate case and moves progressively toward the vector and matrix cases. The approach used in the book is a gradual one, going from one scalar variable to a vector variable and to a matrix variable. The author presents the unified aspect of normal distribution, as well as addresses several other issues, including random matrix theory in physics.

Keywords: Univariate Normal; Multivariate; Random Variable; Random Vector; Random Matrix; Applications: Education; Psychology; Quality Control; Pattern Recognition (search for similar items in EconPapers)
JEL-codes: C01 C1 C15 C4 C46 (search for similar items in EconPapers)
Date: 2021
ISBN: 9789811235283
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Chapters in this book:

Ch 1 Review , pp 1-10

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Ch 2 The Univariate Normal Distribution , pp 11-34

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Ch 3 Limit Theorems , pp 35-52

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Ch 4 Distributions Derived from the Normal , pp 53-79

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Ch 5 Applications of the Univariate Normal Distribution , pp 81-124

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Ch 6 Bayes Approach in Applied Probability , pp 125-154

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Ch 7 Bivariate and Trivariate Normal Distributions , pp 155-245

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Ch 8 Probability, Historical Survey, and Discussion , pp 247-272

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Ch 9 Normal Theory in Rp , pp 273-310

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Ch 10 Some Applications of the Multivariate Normal Distribution in Science and Engineering , pp 311-345

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Ch 11 Functions of Matrices and Jacobians of Transformations , pp 347-376

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Ch 12 Matrix Variate Distributions , pp 377-398

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Ch 13 Complements and Supplementary Information , pp 399-435

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