Literaturnachweis - Detailanzeige
Autor/inn/en | Radhakrishnan, R.; Choudhury, Askar |
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Titel | An Alternative Method for Computing Mean and Covariance Matrix of Some Multivariate Distributions |
Quelle | In: International Journal of Mathematical Education in Science and Technology, 40 (2009) 3, S.434-440 (7 Seiten)Infoseite zur Zeitschrift
PDF als Volltext |
Sprache | englisch |
Dokumenttyp | gedruckt; online; Zeitschriftenaufsatz |
ISSN | 0020-739X |
Schlagwörter | Computers; Multivariate Analysis; Matrices; Mathematics Instruction; Mathematical Concepts; Equations (Mathematics); Mathematical Logic; Validity |
Abstract | Computing the mean and covariance matrix of some multivariate distributions, in particular, multivariate normal distribution and Wishart distribution are considered in this article. It involves a matrix transformation of the normal random vector into a random vector whose components are independent normal random variables, and then integrating univariate integrals for computing the mean and covariance matrix of a multivariate normal distribution. Moment generating function technique is used for computing the mean and covariances between the elements of a Wishart matrix. In this article, an alternative method that uses matrix differentiation and differentiation of the determinant of a matrix is presented. This method does not involve any integration. (As Provided). |
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Erfasst von | ERIC (Education Resources Information Center), Washington, DC |
Update | 2017/4/10 |