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Theory of the Multinormal

In: Multivariate Statistics

Author

Listed:
  • Wolfgang Karl Härdle

    (Humboldt-Universität zu Berlin, C.A.S.E. Centre f. Appl. Stat. & Econ. School of Business and Economics)

  • Zdeněk Hlávka

    (Charles University in Prague, Faculty of Mathematics and Physics Department of Statistics)

Abstract

In the preceding chapter we realized the importance of the multivariate normal distribution, its geometry and connection with elliptic dependence structures. The multivariate normal comes into play in many applications and statistical tests. It is therefore important to know how this distribution behaves when we apply conditioning or linear or nonlinear transformation. Multivariate normal distribution

Suggested Citation

  • Wolfgang Karl Härdle & Zdeněk Hlávka, 2015. "Theory of the Multinormal," Springer Books, in: Multivariate Statistics, edition 2, chapter 0, pages 71-88, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-36005-3_5
    DOI: 10.1007/978-3-642-36005-3_5
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