Scribd
Upload
80 views

Marginal and Conditional Distributions of Multivariate Normal Distribution

The document summarizes properties of the multivariate normal distribution. Part a states that the marginal distributions of subsets of a multivariate normal distributed vector are also normally distributed. Part b states that the conditional distribution of a subset of the vector given other subsets is also normally distributed, with the mean being a linear function of the other subsets and the covariance being reduced. The document provides a proof of these properties using the definition of the multivariate normal distribution and properties of Gaussian distributions.

Uploaded by

Puzhal Selvi K
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
80 views

Marginal and Conditional Distributions of Multivariate Normal Distribution

The document summarizes properties of the multivariate normal distribution. Part a states that the marginal distributions of subsets of a multivariate normal distributed vector are also normally distributed. Part b states that the conditional distribution of a subset of the vector given other subsets is also normally distributed, with the mean being a linear function of the other subsets and the covariance being reduced. The document provides a proof of these properties using the definition of the multivariate normal distribution and properties of Gaussian distributions.

Uploaded by

Puzhal Selvi K
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 4

next up previous

Next: Appendix B: Kernels and Up: Appendix A: Conditional and Previous: Inverse and determinant of

Marginal and conditional distributions of multivariate normal distribution


Assume an n-dimensional random vector

has a normal distribution with

where and are two subvectors of respective dimensions and with . Note that , and

Theorem 4:

Part a The marginal distributions of and are also normal with mean vector and covariance matrix (

), respectively.

Part b The conditional distribution of given is also normal with mean vector

and covariance matrix

Proof: The joint density of is:

where is defined as
Here we have assumed

According to theorem 2, we have

Substituting the second expression for , first expression for , and into to get:
The last equal sign is due to the following equations for any vectors and and a symmetric matrix :

We define

and

and get

Now the joint distribution can be written as:

The third equal sign is due to theorem 3:


The marginal distribution of is

and the conditional distribution of given is

with

next up previous
Next: Appendix B: Kernels and Up: Appendix A: Conditional and Previous: Inverse and determinant of
Ruye Wang 2006-11-14

You might also like