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Math Help - sample covariance matrix

  1. #1
    Newbie
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    Dec 2009
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    sample covariance matrix

    Hi,
    I have a sampling mean and covariance matrix and I have to do the following:
    1. Take N sample vectors according to the sample mean vector and sample covariance matrix
    2. calculate the probability that of a certain vector according to the sample mean vector and sample covariance matrix.

    I saw in wikipedia an explanation how to do 1 in case of a multivariate normal distribution, but my distribution is not necessarily normal...

    Thanks.
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  2. #2
    MHF Contributor matheagle's Avatar
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    Thanks
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    sounds like you need a multivariate central limit theorem
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