Multivariate Normal Distribution
Multivariate Normal Distribution
Multivariate normal
distribution
Surajit Ray
Senior Lecturer, University of Glasgow
DataCamp Multivariate Probability Distributions in R
1 1 0.5
μ = ( ), Σ=( )
2 0.5 2
DataCamp Multivariate Probability Distributions in R
1 1 0.5
μ = ( ), Σ=( )
2 0.5 2
DataCamp Multivariate Probability Distributions in R
−1 1 0.5
μ = ( ), Σ=( )
−3 0.5 2
DataCamp Multivariate Probability Distributions in R
1 2 0
μ = ( ), Σ=( )
2 0 2
DataCamp Multivariate Probability Distributions in R
1 1 0.95
μ = ( ), Σ=( )
2 0.95 1
DataCamp Multivariate Probability Distributions in R
d for "density" t
Need to specify:
⎛1⎞ ⎛1 1 0⎞
μ= 2 Σ= 1 2 0
⎝−5⎠ ⎝0 0 5⎠
Density of a multivariate
normal distribution
Surajit Ray
Senior Lecturer, University of Glasgow
DataCamp Multivariate Probability Distributions in R
0.0384
DataCamp Multivariate Probability Distributions in R
[1,] 0 0
[2,] 1 1
[3,] 0 1
Steps:
Steps:
# Convert to matrix
dens1 <- matrix(dens1, nrow = 50 )
persp() with theta = 30, phi = 30 persp() with theta = 80, phi = 10
DataCamp Multivariate Probability Distributions in R
Let's practice!
DataCamp Multivariate Probability Distributions in R
Surajit Ray
Senior Lecturer, University of Glasgow
DataCamp Multivariate Probability Distributions in R
1 1 .5
Bivariate CDF at x = 2 and y = 4 for a normal with μ = ( ), Σ=( )
2 .5 2
DataCamp Multivariate Probability Distributions in R
1 1 0.5
Bivariate CDF at x = 2 and y = 4 for a normal with μ = ( ), Σ=( )
2 0.5 2
[1] 0.79
attr(,"error")
[1] 1e-15
attr(,"msg")
[1] "Normal Completion"
DataCamp Multivariate Probability Distributions in R
[1] 0.163
DataCamp Multivariate Probability Distributions in R
$quantile
[1] 2.24
$f.quantile
[1] -1.31e-06
attr(,"message")
[1] "Normal Completion"
Let's practice!
DataCamp Multivariate Probability Distributions in R
Checking normality of
multivariate data
Surajit Ray
Senior Lecturer, University of Glasgow
DataCamp Multivariate Probability Distributions in R
heavier tails
skewness
outliers
clustered data
DataCamp Multivariate Probability Distributions in R
Mardia
Henze-Zirkler
Royston
Graphical appoaches
chi-square Q-Q
perspective
contour plots
DataCamp Multivariate Probability Distributions in R
Mardia ✓
Henze-Zirkler ✓
Royston
Graphical appoaches
chi-square Q-Q ✓
perspective
contour plots
DataCamp Multivariate Probability Distributions in R
g1p : 2.697
chi.skew : 67.43
p.value.skew : 4.758e-07
g2p : 23.74
z.kurtosis : -0.2301
p.value.kurt : 0.818
chi.small.skew : 69.33
p.value.small : 2.342e-07
HZ : 2.333269
p-value : 0
g2p : 26.5
z.kurtosis : 1.29
p.value.kurt : 0.195
chi.small.skew : 27.85973
p.value.small : 0.1127617