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3 Random vectors and multivariate normal distribution

CHAPTER3ST 732,M. DAVIDIAN3 Randomvectorsandmultivariatenormaldistri butionAswe saw in Chapter1, a naturalway to thinkaboutrepeatedmeasurement datais as a seriesofrandomvectors, onevectorcorrespondingto each in which thesevectorsofmeasurements turnoutis governedby probability , we needtodiscussextensionsof usualunivari-ateprobability distributionsfor(scalar)randomvariablest omultivariateprobability ,it is wiseto reviewtheimportant conceptsof randomvariableandprobability distributionandhow we usetheseto :We may thinkof arandomvariableYas a characteristicwhosevaluesmayvary. Theway it takes onvaluesis described by aprobability ,REPEATED:It is customaryto useupper caseletters, , to denotea genericrandomvariableandlower caseletters, , to denotea particularvaluethattherandomvariablemay take onor thatmay be observed(data).

3 Random vectors and multivariate normal distribution As we saw in Chapter 1, a natural way to think about repeated measurement data is as a series of random vectors, one vector corresponding to each unit. Because the way in which these vectors of measurements turn out is governed by probability, we need to discuss extensions of usual univari-

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