Results 1 to 2 of 2

Math Help - multivariate normal distribution

  1. #1
    Junior Member
    Joined
    Jan 2011
    From
    Sydney
    Posts
    36

    multivariate normal distribution

    Suppose [X1 X2 X3]^T ~ N(mu,sigma) where mu = [1,2,3] and sigma = [(1,2,2),(2,3,2),(2,2,5)]. I want to find a vector a such that X2 and X2 -a^T*[X1,X3]^T are independent. To do this do we start by finding a1 and a2 (froma) such that cov(X2,X2-a1*X1 -a3*X3) = 0? If so, can someone work through the problem from there and find a, cheers.
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Junior Member
    Joined
    Jan 2011
    From
    Sydney
    Posts
    36

    Re: multivariate normal distribution

    [X1 X2 X3]^T ~ N_3(mu,sigma) if it matters...
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Multivariate normal distribution
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: December 20th 2010, 10:28 AM
  2. Need proof regarding Multivariate Normal Distribution
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: December 15th 2009, 07:43 AM
  3. Multivariate Normal Distribution
    Posted in the Advanced Statistics Forum
    Replies: 1
    Last Post: November 22nd 2009, 02:43 PM
  4. Multivariate Normal Distribution
    Posted in the Advanced Statistics Forum
    Replies: 6
    Last Post: October 16th 2009, 09:01 AM
  5. Proving - multivariate normal distribution
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: November 15th 2008, 12:01 AM

Search Tags


/mathhelpforum @mathhelpforum