Theory of the Multinormal

Wolfgang Karl Härdle and Leopold Simar
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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

Chapter Chapter 5 in Applied Multivariate Statistical Analysis, 2015, pp 183-199 from Springer

Abstract: Abstract In the preceding chapter we saw how the multivariate normal distribution comes into play in many applications. It is useful to know more about this distribution, since it is often a good approximate distribution in many situations. Another reason for considering the multinormal distribution relies on the fact that it has many appealing properties: it is stable under linear transforms, zero correlation corresponds to independence, the marginals and all the conditionals are also multivariate normal variates, etc. The mathematical properties of the multinormal make analyses much simpler.

Keywords: Mean Square Error; Normal Random Variable; Multivariate Normal Distribution; Marginal Density; Wishart Distribution (search for similar items in EconPapers)
Date: 2015
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Related works:
Chapter: Theory of the Multinormal (2024)
Chapter: Theory of the Multinormal (2019)
Chapter: Theory of the Multinormal (2003)
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DOI: 10.1007/978-3-662-45171-7_5

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