An Alternative Method for Computing Mean and Covariance Matrix of Some Multivariate Distributions
Saved in:
| Title: | An Alternative Method for Computing Mean and Covariance Matrix of Some Multivariate Distributions |
|---|---|
| Language: | English |
| Authors: | Radhakrishnan, R., Choudhury, Askar |
| Source: | International Journal of Mathematical Education in Science and Technology. 2009 40(3):434-440. |
| Availability: | Taylor & Francis, Ltd. 325 Chestnut Street Suite 800, Philadelphia, PA 19106. Tel: 800-354-1420; Fax: 215-625-2940; Web site: http://www.tandf.co.uk/journals |
| Peer Reviewed: | Y |
| Physical Description: | |
| Page Count: | 7 |
| Publication Date: | 2009 |
| Document Type: | Journal Articles Reports - Descriptive |
| Descriptors: | Computers, Multivariate Analysis, Matrices, Mathematics Instruction, Mathematical Concepts, Equations (Mathematics), Mathematical Logic, Validity |
| DOI: | 10.1080/00207390802419586 |
| ISSN: | 0020-739X |
| 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. |
| Abstractor: | As Provided |
| Number of References: | 4 |
| Entry Date: | 2009 |
| Accession Number: | EJ858112 |
| Database: | ERIC |
|
Full text is not displayed to guests.
Login for full access.
|
|
Be the first to leave a comment!
