4. Multivariate Normal Distribution

  1. Alvin C. Rencher and
  2. G. Bruce Schaalje

Published Online: 30 APR 2007

DOI: 10.1002/9780470192610.ch4

Linear Models in Statistics, Second Edition

Linear Models in Statistics, Second Edition

How to Cite

Rencher, A. C. and Schaalje, G. B. (2007) Multivariate Normal Distribution, in Linear Models in Statistics, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470192610.ch4

Author Information

  1. Department of Statistics, Brigham Young University, Provo, Utah, USA

Publication History

  1. Published Online: 30 APR 2007
  2. Published Print: 14 DEC 2007

ISBN Information

Print ISBN: 9780471754985

Online ISBN: 9780470192610

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Keywords:

  • multivariate normal random vector;
  • normal variables and nonnormal variables;
  • partial correlation coefficient

Summary

This chapter contains sections titled:

  • Univariate Normal Density Function

  • Multivariate Normal Density Function

  • Moment Generating Functions

  • Properties of the Multivariate Normal Distribution

  • Partial Correlation

  • Problems