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Multivariate Normal Distribution

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Applied Multivariate Statistics with R

Part of the book series: Statistics for Biology and Health ((SBH))

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Abstract

IN THIS CHAPTER, we generalize the bivariate normal distribution from the previous chapter to an arbitrary number of dimensions. We also make use of the matrix notation. The mathematics is generally more dense and relies on the linear algebra notation covered in Chap. 4 In Sect. 4.5 we pointed out there is a limit on what computations we can reasonably perform by hand. For this reason, we illustrate these various operations with the help of R.

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Notes

  1. 1.

    Harold Hotelling (1885–1973). US mathematician, statistician, and economist.

  2. 2.

    Samuel Stanley Wilks (1906–1964). American mathematician, worked at Princeton University.

  3. 3.

    John Wishart (1898–1956). Scottish mathematician and statistician.

  4. 4.

    Prasanta Chandra Mahalanobis (1893–1972). Indian scientist and statistician.

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Authors and Affiliations

  1. School of Public Health, Yale University, New Haven, CT, USA

    Daniel Zelterman

Authors
  1. Daniel Zelterman
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© 2015 Springer International Publishing Switzerland

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Zelterman, D. (2015). Multivariate Normal Distribution. In: Applied Multivariate Statistics with R. Statistics for Biology and Health. Springer, Cham. https://doi.org/10.1007/978-3-319-14093-3_7

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