Multivariate Distributions
Introduction to Multivariate Distributions
Recommended Prerequesites
See also: Multivariate Distribution SimulatorMoments for Multivariate Distributions
Expected Value
The expected value of a random vector X is given by a vector whose elemnts are given by the expectations of the elements of X: $$\mathbb{E}[X]=(\mathbb{E}[X_1],\mathbb{E}[X_2],\dots,\mathbb{E}[X_n])$$Covariance
The Covariance matrix of X is given by a similar equation as the variance for a univariate case: $$\text{Var}[X]=\mathbb{E}[(X-\mathbb{E}[X])]\mathbb{E}[(X-\mathbb{E}[X])]^T$$ In applied fields, the estimation of the covariance matrix is a difficult and important thing.Correlation Matrix
This can be interpreted in terms of correlations by normalizing the elements by dividing by \(\sigma_i\sigma_j\). The diagonals of the correlation matrix will be 1; the off-diagonal terms will be between -1 and 1 inclusive.Cross-Covariance Matrix
The cross-covariance matrix is a generalization of the covariance matrix, where you can have two different vectors: $$K_{XY}=\mathbb{E}[(X-\mathbb{E}[X])(Y-\mathbb{E}[Y])^T]$$Multivariate Normal
A random vector \(X=(X_1,X_2,\dots,X_n)\) is said to follow a multivariate normal distribution with mean \(\mu\) and covariance matrix \(\Sigma\) if its joint probability density function is given by: $$f(\vec{x})=\frac{1}{(2\pi)^{n/2}\sqrt{\text{det}(\Sigma)}}\exp\left(-\frac{1}{2}(x-\mu)^{T}\sigma^{-1}(x-\mu)\right)$$ where \(\vec{x}=(x_1,x_2,\dots,x_n)\), \(\mu\) is the mean vector, and \(\Sigma\) is the covariance matrix.Covariance Matrix Requirements
For the univariate case, the variance had to be positive. For the multivariate case, \(\Sigma\) must be positive semi-definite.Positive Semi-Definite
An \(n \times n\) symmetric real matrix M is positive semi-definite if for for all \(\vec{x}\in\mathbb{R}^n\), \(\vec{x}^TM\vec{x}\geq 0\).Below are some characteristics of positive semi-definite matrices:
- All its eigenvalues are non-negative
Example
The joint PDF for a bivariate normal distribution of \(X_1, X_2\) is: $$f(x_1,x_2)=\frac{1}{2\pi\sigma_1\sigma_2\sqrt{1-\rho^2}}\exp\left(\frac{1}{2(1-\rho^2)}\left[\frac{(x_1-\mu_1)^2}{\sigma_1^2}+\frac{(x_2-\mu_2)^2}{\sigma_2^2}-2\rho\frac{(x_1-\mu_1)(x_2-\mu_2)}{\sigma_1\sigma_2}\right]\right)$$Multivariate T-Distribution
A random vector \(X=(X_1,X_2,\dots,X_n)\) is said to follow a multivariate T distribution with degrees of freedom \(\nu\), mean \(\mu\) and scale matrix \(\Sigma\) if its joint probability density function is given by: $$f(\vec{x})=\frac{\Gamma(\frac{\nu+n}{2})}{\Gamma(\frac{\nu}{2})(\nu\pi)^{n/2}\sqrt{\text{det}(\Sigma)}}\exp\left(1+\frac{1}{\nu}(x-\mu)^T\Sigma^{-1}(x-\mu)\right)^{-(\nu+n)/2}$$ where \(\vec{x}=(x_1,x_2,\dots,x_n)\), \(\nu\) is the degrees of freedom, \(\mu\) is the mean vector, and \(\Sigma\) is the scale matrix.Elliptical Distribution
The multvariate normal and t distributions are part of a family called Elliptical Distributions. If one were to draw contour plots for density, they would see elipsoid lines. Other members of the family include Laplace and logistic distributions.