Theory of the Multinormal

Wolfgang Karl Härdle and Zdeněk Hlávka
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Wolfgang Karl Härdle: Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics
Zdeněk Hlávka: Charles University in Prague, Faculty of Mathematics and Physics Department of Statistics

Chapter Chapter 5 in Multivariate Statistics, 2015, pp 71-88 from Springer

Abstract: Abstract In the preceding chapter we realized the importance of the multivariate normal distribution, its geometry and connection with elliptic dependence structures. The multivariate normal comes into play in many applications and statistical tests. It is therefore important to know how this distribution behaves when we apply conditioning or linear or nonlinear transformation. Multivariate normal distribution

Keywords: Covariance Matrix; Linear Transformation; Random Vector; Joint Distribution; Conditional Distribution (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-36005-3_5

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DOI: 10.1007/978-3-642-36005-3_5

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