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Multivariate normal distribution

In probability theory and statistics, a multivariate normal distribution, also sometimes called a multivariate Gaussian distribution (in honor of Carl Friedrich Gauss, who was not the first to write about the normal distribution) is a specific probability density function.

Contents

1 General case

2 Bivariate case

3 Linear transformation

4 Generating values drawn from the distribution

5 Conditional distributions

6 Estimation of parameters

General case

A random vector $X = [X_1, \cdots, X_N]$ follows a multivariate normal distribution, also sometimes called a multivariate Gaussian distribution, if it satisfies the following equivalent conditions:

every linear combination $Y = a_1 X_1 + \cdots + a_N X_N$ is normally distributed

there is a random vector $Z = [Z_1, \cdots, Z_M]$ , whose components are independent standard normal random variables, a vector $\mu = [\mu_1, \cdots, \mu_N]$ and an $N \times M$ matrix $A$ such that $X = A Z + μ$ .

there is a vector $μ$ and a symmetric, positive semi-definite matrix $Γ$ such that the characteristic function of $X$ is

$\phi_X(u) = \exp \left( i \mu^T u - \frac{1}{2} u^T \Gamma u \right) .$

The following is not quite equivalent to the conditions above, since it fails to allow for a singular matrix as the variance:

there is a vector $\mu = [\mu_1, \cdots, \mu_N]$ and a symmetric, positive definite matrix $Σ$ such that $X$ has density

$f_X(x_1, \cdots, x_N) = \frac {1} {(2\pi)^{N/2} \left|\Sigma\right|^{1/2}} \exp \left( -\frac{1}{2} ( x - \mu)^T \Sigma^{-1} (x - \mu) \right)$

where $\left| \Sigma \right|$ is the determinant of $Σ$ . Note how the equation above reduces to that of the univariate normal distribution if $Σ$ is a scalar (i.e., a real number).

The vector $μ$ in these conditions is the expected value of $X$ and the matrix $Σ = A A T$ is the covariance matrix of the components $X i$ .

It is important to realize that the covariance matrix must be allowed to be singular. That case arises frequently in statistics; for example, in the distribution of the vector of residuals in ordinary linear regression problems. Note also that the $X i$ are in general not independent; they can be seen as the result of applying the linear transformation $A$ to a collection of independent Gaussian variables $Z$ .

Bivariate case

In the 2-dimensional nonsingular case, the probability density function is

$f(x,y) = \frac{1}{2 \pi \sigma_x \sigma_y \sqrt{1-\rho^2}} \exp \left( -\frac{1}{2 (1-\rho^2)} \left( \frac{x^2}{\sigma_x^2} + \frac{y^2}{\sigma_y^2} - \frac{2 \rho x y}{ (\sigma_x \sigma_y)} \right) \right)$

where $ρ$ is the correlation between $X$ and $Y$ .

Linear transformation

If $Y = B X$ is a linear transformation of $X$ where $B$ is an $m \times p$ matrix then $Y$ has a multivariate normal distribution with expected value $B μ$ and variance $B Σ B T$ (i.e., $Y$ ~ $N \left(B \mu, B \Sigma B^T\right)$ .

Corollary: any subset of the $X i$ has a marginal distribution that is also multivariate normal. To see this consider the following example: to extract the subset $(X 1, X 2, X 4) T$ , use

$B = \begin{bmatrix} 1 & 0 & 0 & 0 & 0 & \ldots & 0 \\ 0 & 1 & 0 & 0 & 0 & \ldots & 0 \\ 0 & 0 & 0 & 1 & 0 & \ldots & 0 \end{bmatrix}$

which extracts the desired elements directly.

Generating values drawn from the distribution

To generate values from a multivariate normal distribution given μ and A such that X = AZ + μ as detailed above, simply generate a suitable vector of independent standard normal values Z using for example the Box-Muller transform, and apply the foregoing equation.

Given only the covariance matrix Q, one can generate a suitable A using Cholesky decomposition.

Conditional distributions

Then if $μ$ and $Σ$ are partitioned as follows

$\mu = \begin{bmatrix} \mu_1 \\ \mu_2 \end{bmatrix} \quad$ with sizes $\begin{bmatrix} q \times 1 \\ N-q \times 1 \end{bmatrix}$

$\Sigma = \begin{bmatrix} \Sigma_{11} & \Sigma_{12} \\ \Sigma_{21} & \Sigma_{22} \end{bmatrix} \quad$ with sizes $\begin{bmatrix} q \times q & q \times N-q \\ N-q \times q & N-q \times N-q \end{bmatrix}$

then the distribution of $x 1$ conditional on $x 2 = a$ is multivariate normal $X 1 | X 2 = a$ ~ $N(\bar{\mu}, \overline{\Sigma})$ where

$\bar{\mu} = \mu_1 + \Sigma_{12} \Sigma_{22}^{-1} \left( a - \mu_2 \right)$

and covariance matrix

$\overline{\Sigma} = \Sigma_{11} - \Sigma_{12} \Sigma_{22}^{-1} \Sigma_{21}.$

This matrix is the Schur complement of ${\mathbf\Sigma_{22}}$ in ${\mathbf\Sigma}$ .

Note that knowing the value of $x 2$ to be $a$ alters the variance; perhaps more surprisingly, the mean is shifted by $\Sigma_{12} \Sigma_{22}^{-1} \left(a - \mu_2 \right)$ ; compare this with the situation of not knowing the value of $a$ , in which case $x 1$ would have distribution $N_q \left(\mu_1, \Sigma_{11} \right)$ .

The matrix $\Sigma_{12} \Sigma_{22}^{-1}$ is known as the matrix of regression coefficients.

Estimation of parameters

The derivation of the maximum-likelihood estimator of the covariance matrix of a multivariate normal distribution is perhaps surprisingly subtle and elegant. See estimation of covariance matrices.

Categories: Probability distributions

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01-04-2007 01:21:04

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