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3. The Multivariate Normal Distribution

3. The Multivariate Normal Distribution Introduction A generalization of the familiar bell shaped Normal density to several dimensions plays a fundamental role in Multivariate analysis While real data are never exactly Multivariate Normal , the Normal density is often a useful approximation to the true population Distribution because of a central limit effect. One advantage of the Multivariate Normal Distribution stems from the fact that it is mathematically tractable and nice results can be obtained. 1. To summarize, many real-world problems fall naturally within the framework of Normal theory.

The Multivariate Normal Distribution ... 4.The conditional distributions of the components are normal. 10. Result 3.2 If Xis distributed as N p( ;) , then any linear combination of ... 4 be independent and identically distributed 3 1 random vectors with = 2 4 3 1 …

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