DISTRIBUSI NORMAL MULTIVARIAT

• Fungsi Densitas Normal Univariat :

Variabel acak X dengan rata rata µ dan simpangan baku σ berdistribusi
normal univariat , fungsi densitas :

1 x 2
1  ( )
f ( x)  e 2 
dengan    x  
2 2

• Fungsi densitas normal multivariat: Vektor Acak X '   X1, X 2 ,..., X p 

1  ( x   )'  1 ( x   )/2
f ( x)  e
(2 ) |  | p /2 1/2

  xi  , i  1, 2,..., p
 b
P(a  x  b)   f(x)dx
a
-  x- μ 
2
b
1
 
a 2
e 2σ2
dx
 Distribusi normal dengan nilai rata rata sama , nilai standar deviasi
berbeda.

f(x)

 x
 Distribusi normal dengan nilai rata rata berbeda , nilai standar deviasi
sama.

f(x)

    x
Distribusi normal standar :
 = 0 and  = 1.

b
P(a  z  b)   f(z)dz
a
b
1 -z2
 
a 2
e 2 dz
 Cumulative Standard Normal Distribution (J&W Table 1)
z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359
0.1 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753
0.2 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141
0.3 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517
0.4 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879
0.5 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224
0.6 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549
0.7 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852
0.8 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133
0.9 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389
1.0 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621
1.1 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830
1.2 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015
1.3 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177
1.4 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319
1.5 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441
1.6 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545
1.7 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633
1.8 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706
1.9 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767
2.0 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817
2.1 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857
2.2 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890
2.3 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916
2.4 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936
2.5 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952
2.6 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964
2.7 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974
2.8 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981
2.9 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986
3.0 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990
 Standard Normal Distribution

z 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09
0.0 0.0000 0.0040 0.0080 0.0120 0.0160 0.0199 0.0239 0.0279 0.0319 0.0359
0.1 0.0398 0.0438 0.0478 0.0517 0.0557 0.0596 0.0636 0.0675 0.0714 0.0753
0.2 0.0793 0.0832 0.0871 0.0910 0.0948 0.0987 0.1026 0.1064 0.1103 0.1141
0.3 0.1179 0.1217 0.1255 0.1293 0.1331 0.1368 0.1406 0.1443 0.1480 0.1517
0.4 0.1554 0.1591 0.1628 0.1664 0.1700 0.1736 0.1772 0.1808 0.1844 0.1879
0.5 0.1915 0.1950 0.1985 0.2019 0.2054 0.2088 0.2123 0.2157 0.2190 0.2224
0.6 0.2257 0.2291 0.2324 0.2357 0.2389 0.2422 0.2454 0.2486 0.2517 0.2549
0.7 0.2580 0.2611 0.2642 0.2673 0.2704 0.2734 0.2764 0.2794 0.2823 0.2852
0.8 0.2881 0.2910 0.2939 0.2967 0.2995 0.3023 0.3051 0.3078 0.3106 0.3133
0.9 0.3159 0.3186 0.3212 0.3238 0.3264 0.3289 0.3315 0.3340 0.3365 0.3389
1.0 0.3413 0.3438 0.3461 0.3485 0.3508 0.3531 0.3554 0.3577 0.3599 0.3621
1.1 0.3643 0.3665 0.3686 0.3708 0.3729 0.3749 0.3770 0.3790 0.3810 0.3830
1.2 0.3849 0.3869 0.3888 0.3907 0.3925 0.3944 0.3962 0.3980 0.3997 0.4015
1.3 0.4032 0.4049 0.4066 0.4082 0.4099 0.4115 0.4131 0.4147 0.4162 0.4177
1.4 0.4192 0.4207 0.4222 0.4236 0.4251 0.4265 0.4279 0.4292 0.4306 0.4319
1.5 0.4332 0.4345 0.4357 0.4370 0.4382 0.4394 0.4406 0.4418 0.4429 0.4441
1.6 0.4452 0.4463 0.4474 0.4484 0.4495 0.4505 0.4515 0.4525 0.4535 0.4545
1.7 0.4554 0.4564 0.4573 0.4582 0.4591 0.4599 0.4608 0.4616 0.4625 0.4633
1.8 0.4641 0.4649 0.4656 0.4664 0.4671 0.4678 0.4686 0.4693 0.4699 0.4706
1.9 0.4713 0.4719 0.4726 0.4732 0.4738 0.4744 0.4750 0.4756 0.4761 0.4767
2.0 0.4772 0.4778 0.4783 0.4788 0.4793 0.4798 0.4803 0.4808 0.4812 0.4817
2.1 0.4821 0.4826 0.4830 0.4834 0.4838 0.4842 0.4846 0.4850 0.4854 0.4857
2.2 0.4861 0.4864 0.4868 0.4871 0.4875 0.4878 0.4881 0.4884 0.4887 0.4890
2.3 0.4893 0.4896 0.4898 0.4901 0.4904 0.4906 0.4909 0.4911 0.4913 0.4916
2.4 0.4918 0.4920 0.4922 0.4925 0.4927 0.4929 0.4931 0.4932 0.4934 0.4936
2.5 0.4938 0.4940 0.4941 0.4943 0.4945 0.4946 0.4948 0.4949 0.4951 0.4952
2.6 0.4953 0.4955 0.4956 0.4957 0.4959 0.4960 0.4961 0.4962 0.4963 0.4964
2.7 0.4965 0.4966 0.4967 0.4968 0.4969 0.4970 0.4971 0.4972 0.4973 0.4974
2.8 0.4974 0.4975 0.4976 0.4977 0.4977 0.4978 0.4979 0.4979 0.4980 0.4981
2.9 0.4981 0.4982 0.4982 0.4983 0.4984 0.4984 0.4985 0.4985 0.4986 0.4986
3.0 0.4987 0.4987 0.4987 0.4988 0.4988 0.4989 0.4989 0.4989 0.4990 0.4990
Distribusi Normal Multivariat
Fungsi densitas distribusi normal multivariat , p variabel

   
'
 x   Σ-1 x  
1
f(x)  e 2

 2 
p 2 12

squared generalized
distance from x to 
~ ~
-  xi  , i = 1,…,p.

dinotasikan sebagai Np(,)

~ ~
 μ1  σ11 σ12 σ1p 
   
 μ2   σ21 σ22 σ2p 
μ= , Σ=
   
   
 μ p  σ p1 σ p2 σ pp 
The simplest multivariate normal distribution is the
bivariate (2 dimensional) normal distribution, which has
the density function

   
'
 x   Σ-1 x  
1
f(x) = e 2

 2 
12

squared generalized
-  xi  , i = 1, 2. distance from x to 
~ ~

Fungsi densitas distribusi normal 2-dimensi

~ ~ N2(,)

 μ1  σ11 σ12 
μ =  , Σ =  
μ
 2 σ σ
 21 22 
Invers matriks kovarians (Gauss-Jordan elimination ) :

-1 1  σ22 -σ12 
Σ = 2  
-σ
σ11σ22 - σ12  21 σ 11 

σ12 = ρ12 σ11 σ22

2
σ11σ22 - σ12  2
= σ11σ22 1 - ρ12 
Graphically, the bivariate normal probability density function
looks like this:

Bivariate Normal Response Surface

f(X1, X2)

contours

X2

X1

All points of equal density are called a contour, defined for p-dimensions
as all x such that
~
   
'
x   Σ-1 x   = c2
 Properties of the Multivariate Normal
Distribution
For any multivariate normal random vector X
~

1. The density
   
'
 x   Σ-1 x  
1
f(x)  e 2

 2 
p 2 12

has maximum value at
 μ1 
 
 μ2 
μ=
 
 
 μ p 
i.e., the mean is equal to the mode.
2. The density
   
'
 x   Σ-1 x  
1
f(x)  e 2

 2 
p 2 12

is symmetric along its constant density contours and is centered at , i.e.,
the mean is equal to the median.
~
3. Linear combinations of the components of X are normally distributed
~
4. All subsets of the components of X have a (multivariate) normal
distribution

~ components of X are
5. Zero covariance implies that the corresponding
independently distributed

6. Conditional distributions of the components of X are (multivariate) normal

~
 Some Important Results Regarding the
Multivariate Normal Distribution
1. If X ~ Np(,), then any linear combination

 
p
a'X = 
i=1
ai X i ~ N p a'μ, a'Σa

Furthermore, if a’X ~ Np(,) for every a, then X ~ Np(,)

~ ~ ~ ~ ~ ~ ~ ~
 2. If X ~ Np(,), then any set of q linear combinations
~ ~ ~
p 
  a1i X i 
 i=1 
p 
  a 2i X i 
'
A X =  i=1  ~ N q 
A'
μ,A'
ΣA 
 
p 
 a X 
 qi i 
 i=1 
Furthermore, if d is a conformable vector of constants, then
X + d ~ Np( + d,)
3. If X ~ Np(,), then all subsets of X are (multivariate) normally
distributed, i.e., for any partition

 X1   1   Σ11 Σ12 
  qx1   qx1    qxq   qx  p-q  
X =  ___  ,  =  ___  , Σ =  
 px1  px1  pxp   
 X2   2   Σ21 Σ22 
  p-q  x1    p-q  x1 
     p-q  xq   p-q  x  p-q  

then X1 ~ Nq(1, 11), X2 ~ Np-q(2, 22)

~ ~ ~ ~ ~ ~
4. If X1 ~ Nq1(1,11) and X2 ~ Nq2(2,22) are independent, then Cov(X1, X2) =
12 = 0

and if

 X1   1  Σ11 Σ12 
 X  ~ N q1 + q 2   ,
 2   2  Σ21 Σ22 
 

then X1 and X2 are independent iff 12 = 0

~ ~ ~ ~
and if X1 ~ Nq1(1,11) and X2 ~ Nq2(2,22) and are independent, then
~ ~ ~ ~ ~ ~

 X1   1  Σ11 0 
 X  ~ N q1 + q 2   ,
 2   2   0 Σ22 
 
5. If X ~ Np(,) and || > 0, then

   
'
x   Σ-1 x   ~ χ p
and

the Np(,) distribution assigns probability 1 – a to the solid ellipsoid

~ ~

   
'

x : x   Σ-1 x    χ 2p  α  
The results of calculations for the Q-Q plot look like this:

Adjusted Standard
Ordered
Probability Normal
Observations
Level Quantiles
x (j)
(j-0.5)/n q(j)
1.43 0.033 -1.834
1.62 0.100 -1.282
2.46 0.167 -0.967
2.48 0.233 -0.728
2.97 0.300 -0.524
4.03 0.367 -0.341
4.47 0.433 -0.168
5.76 0.500 0.000
6.61 0.567 0.168
6.68 0.633 0.341
6.79 0.700 0.524
7.46 0.767 0.728
7.88 0.833 0.967
8.92 0.900 1.282
9.42 0.967 1.834
…and the resulting Q-Q plot looks like this:

Observed
Q - Q Plot
Values xj

Standard Normal Quantiles q(j)

There don’t appear to be great departures from the straight line drawn
through the points, but it doesn’t fit terribly well, either…
• Langkah langkah uji Normalitas Multivariat
1. Hitung nilai jarak Mahalanobis
d 2j  ( x j  x)' S 1 ( x j  x), j  1, 2,..., n

2. Urutkan d 2j dari terkecil sampai terbesar

2
d(1)  d(2)
2
 ...  d(2n)

3. Nilai ( j 0,5 ) dengan j=1,2,…n

2

4. Plot pasangan (d( j ) ,  p ( j 0,5 ) ) masing masing sebagai sumbu X

2 2

n
dan sumbu Y.
Jika membentuk garis linier  variabel penelitian
berdistribusi normal multivariat.
• Contoh :
p=2 , n=10
j d 2 2 j 0,5
( j) p  2( )
10

1 0,59 0,10
2 0,81 0,33
3 0,83 0,58
4 0,97 0,86
5 1,01 1,20
6 1,02 1,60
7 1,20 2,10
8 1,88 2,77
9 4,34 3,79
10 5,33 5,99
 7

5
Chi Kuadrat

0
0 1 2 3 4 5 6
Dj kuadrat
 To create a Chi-Square plot, we will need to calculate the squared
generalized distance from the centroid for each observation xj

   
'
d = xj - x S-1 xj - x , j = 1,
2
j ,n

For our bivariate data we have

 5.26
x = -3.09
 

S = -0.67 12.43  S-1 = 0.0076 0.0808

7.12 -0.67 0.1411 0.0076
   
 …so the squared generalized distances from the centroid are

x j1 x j2 d 2j x j1 x j2 d 2j
1.43 -0.69 2.400 5.76 -3.97 0.090
1.62 -5.00 2.279 6.68 -3.24 0.281
2.46 -1.13 1.336 6.79 -3.56 0.333
2.48 -5.20 1.548 if we order the 7.88 -1.87 1.138
2.97 -6.39 1.739 observations relative to 2.46 -1.13 1.336
4.03 2.87 2.976 their squared 2.48 -5.20 1.548
4.47 -7.88 2.005 generalized distances 2.97 -6.39 1.739
5.76 -3.97 0.090  4.47 -7.88 2.005
6.61 2.32 2.737 1.62 -5.00 2.279
6.68 -3.24 0.281 1.43 -0.69 2.400
6.79 -3.56 0.333 7.46 1.61 2.622
7.46 1.61 2.622 8.92 -6.60 2.686
7.88 -1.87 1.138 6.61 2.32 2.737
8.92 -6.60 2.686 4.03 2.87 2.976
9.42 -7.64 3.819 9.42 -7.64 3.819
These data don’t seem to support the assertion that they were drawn
from a bivariate normal parent population…

Chi-Square Plot
d2(j)

possible
outliers!

q c,2[(j-0.5)/n]