4. The Multivariate Normal Distribution

  1. Alvin C. Rencher and
  2. William F. Christensen

Published Online: 1 AUG 2012

DOI: 10.1002/9781118391686.ch4

Methods of Multivariate Analysis, Third Edition

Methods of Multivariate Analysis, Third Edition

How to Cite

Rencher, A. C. and Christensen, W. F. (2012) The Multivariate Normal Distribution, in Methods of Multivariate Analysis, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118391686.ch4

Publication History

  1. Published Online: 1 AUG 2012
  2. Published Print: 16 JUL 2012

ISBN Information

Print ISBN: 9780470178966

Online ISBN: 9781118391686

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Keywords:

  • covariance matrices;
  • multivariate normal density;
  • generalized population variance;
  • random variables;
  • maximum likelihood estimation

Summary

This chapter contains sections titled:

  • Multivariate Normal Density Function

  • Properties of Multivariate Normal Random Variables

  • Estimation in the Multivariate Normal

  • Assessing Multivariate Normality

  • Transformations to Normality

  • Outliers