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Math Help - terminology...

  1. #1
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    Aug 2011
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    terminology...

    If X1,X2,...,Xk are NIDp(u,S), does this mean that:

    1) in each of the vectors X1,...,Xk etc there are p variables (like height, weight etc)?

    like X1 = (90,153,14,121)^T, where 90=weight, 153=height, 14=age, 121=IQ?

    2) Doe the fact that X1,X2,...,Xk are NIDp(u,S) mean that the covariance matrix S measuring the covariance between the vectors would be : a) pxp, and b) only have entries on its diagonals, c) be measuring the covariance between the variables??

    I think that the answer to all the questions i've asked is yes, but its just the notation which is confusing me! So i'd love some clarification

    Thanks everyone
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  2. #2
    Junior Member TheProphet's Avatar
    Joined
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    Re: terminology...

    You don't mean that X_{1},...,X_{k} are  k jointly normal random variables? If so,  \mu would be the mean vector and S the covariance matrix.  S would be diagonal if and only if all the random variables  X_{1},...,X_{k} were independent.
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