p.

1
Multivariate Normal Distribution
• Density of Normal Distribution
¾ univariate case: normal density

¾ multivariate case:

(Note. must exist, i.e., |Σ|≠0)

„ the term

is a distance measure
„

p. 2
¾ Example: bivariate normal density

„ if X1 and X2 are uncorrelated, they are independent

 p. 3
„ contour for the case

What if |ρ12|
increase?

‹ when

) p. 4

(a) σ 1=σ 2, ρ =0 ⇒ independent and equal variance

joint pdf contour lines of the pdf data generated from the pdf

Q: what should the contour

(b) σ1=σ2, ρ=0.75 ⇒ correlated and equal variance lines look like if σ1≠σ2?

when σ1=σ2, ρ≠0, the major/minor axis of the ellipse is parallel to x1=x2 or x1=−x2
contour of Normal pdf is an ellipse because it can be expressed as (x−μ)T∑−1(x−μ)=c
 p. 5

¾ random sample from a multivariate normal distribution

¾ Q: why normal?
„ While real data are never exactly multivariate normal, the normal density is
often a useful approximation to the “true” population distribution
„ The multivariate normal density is mathematically tractable and “nice”
results can be obtained
„ The distribution of many multivariate statistics are approximately normal,
regardless of the form of the parent population because of a central limit
effect
• Some properties of multivariate normal distribution
NTHU STAT 5191, 2010, Lecture Notes
made by S.-W. Cheng (NTHU, Taiwan) p. 3-12
¾

Alternative definition of multivariate normal distribution: Let z1 , . . . , zp be i.i.d

from N (0, 1) and Z = [z1 , . . . , zp ]T . For a p-dim vector μ and a p × p symmetric,
positive definite matrix Σ, X is said to have a multivariate normal distribution
Np (μ, Σ) if it has the same distribution as

Σ1/2 Z + μ

„
 p. 6
¾

p. 3-14

X1
Note. Suppose that X1 and X2 are multivariate normal. X = may
X2
not be a multivariate normal.

¾
 p. 7

p. 8
„ Example: conditional density of a bivariate normal distribution
‹

‹ conditional density and regression model