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ERIC Number: EJ858112
Record Type: Journal
Publication Date: 2009
Pages: 7
Abstractor: As Provided
Reference Count: 4
ISBN: N/A
ISSN: ISSN-0020-739X
An Alternative Method for Computing Mean and Covariance Matrix of Some Multivariate Distributions
Radhakrishnan, R.; Choudhury, Askar
International Journal of Mathematical Education in Science and Technology, v40 n3 p434-440 2009
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.
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Publication Type: Journal Articles; Reports - Descriptive
Education Level: N/A
Audience: N/A
Language: English
Sponsor: N/A
Authoring Institution: N/A