A Characteristic Property of the Multivariate Normal Distribution
نویسندگان
چکیده
منابع مشابه
Multivariate normal distribution - Wikipedia, the free encyclopedia
1 General case 1.1 Cumulative distribution function 1.2 A counterexample 1.3 Normally distributed and independent 2 Bivariate case 3 Affine transformation 4 Geometric interpretation 5 Correlations and independence 6 Higher moments 7 Conditional distributions 8 Fisher information matrix 9 Kullback-Leibler divergence 10 Estimation of parameters 11 Entropy 12 Multivariate normality tests 13 Drawin...
متن کاملOn the Distribution of a Trace of a Multivariate Quadratic Form in the Multivariate Normal Samples
This paper considers the derivation of the p.d.f. of the trace of a non-central multivariate quadratic form using a polynomial P (T,A) defined by Ie the author and compares with the results of Katz et al and Ruben. The come plex case is also discussed.
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ژورنال
عنوان ژورنال: The Annals of Mathematical Statistics
سال: 1966
ISSN: 0003-4851
DOI: 10.1214/aoms/1177699176