Thanks, Captain. Is it possible for you to provide a mathematical example for this? I am particularly interested to know whether the density of two normal distributions with different supports can be multiplied and if so, what would be the resultant distribution.
Captain, that's what I am trying to understand myself. All I have is a methodology to sample from the product of two distributions (obtained from a professor) for a problem that I am working on and one of the necessary conditions to use this methodology is that the two distributions under consideration must have the same support. In most cases we would be considering Normal distributions for both and that's why I raised the question in the first place. Thanks.
Captain,
Do you mean to say that if we are considering different distributions the support would be different or otherwise it is always the same?
I am still not able to understand the concept of support. A mathematical example would really help. Thanks a lot.
The method he gives may require that the distributions have the same support, but as you are using normals they do have the same support and so you don't have to worry.
The uniform distribution on has the interval as its support, the exponetial distribution has support
The binomial distribution has support
RonL
Fantastic,
I understand that if the two multivariate normals have the same number of variables as in X1' = [X1, X2, X3] and X2' = [X1, X2, X3]. However, I am not able to see how it can extend to the following case:
1. X1' = [X1, X2, X3] and X2' = [X1, X2, X3,X4] - There is an additional variable.
Any help would be appreciated? Thanks a lot.