多元統(tǒng)計分析涉及到的都是隨機(jī)向量或多個隨機(jī)向量放在一起組成的隨機(jī)矩陣,在介紹正態(tài)分布之前,先論述有關(guān)隨機(jī)向量的基本概念。為了便于理解概念和性質(zhì),借助復(fù)習(xí)一元統(tǒng)計分析中有關(guān)概念和性質(zhì),自然推廣給出多元統(tǒng)計分析中相應(yīng)的概念和性質(zhì)。
In PRobability theory and statistics, the multivariate normal distribution or multivariate Gaussian distribution, is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One possible definition is that a random vector is said to be k-variate normally distributed if every linear combination of its k components has a univariate normal distribution. Its importance derives mainly from the multivariate central limit theorem. The multivariate normal distribution is often used to describe, at least approximately, any set of (possibly) correlated real-valued random variables each of which clusters around a mean value.
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http://blog.csdn.net/wjj5881005/article/details/53320403
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