Re: Multivariate Distribution

In article <ef1d998.-1@xxxxxxxxxxxxxxxx>,
"Ahmed Ayoub" <ayoubahmed@xxxxxxxxx> wrote:

> dear people..
>
> i ve already posted this question.. but not i am reposting it to
> better explain the problem..
>
> i would like to find a way to integrate the following
>
> &#8747;&#8747;&#8747;&#8747; f(x1..x4) dx4 dx3 dx2 dx1
>
> suppose that i do the iterval of each value. (ie the min and max of
> each x1..x4, and i do have the covariance matrix, and the mean value,
> and the data it self)
>
> I know there's a matlab function that can help me do this. can u
> please let me know how i can do it.

Possession of the mean and covariance matrix does
not help at all without some knowledge of the
distribution itself. If you also have the data
that the mean and covariance matrix came from,
it still does not help.

You have two options. Either use a 4-d histogram
of the data, the integral of which is trivial,
or make some assumptions about the distribution.
Perhaps you might assume it is a normal distribution.
In this case of course, the integral is also possible
to do. (You don't say what the limits of the
integration are. Even the normal case is not
trivial for finite intervals if the covariance
matrix is not diagonal.)

I doubt this has been of much help, but I'm also
not at all sure what your goal is here.

John


--
The best material model of a cat is another, or preferably the same, cat.
A. Rosenblueth, Philosophy of Science, 1945

Those who can't laugh at themselves leave the job to others.
Anonymous
.

Relevant Pages

  • Re: Quadrature
    ... let's say you have an array xr, where the array elements represent ... observations of a probability distribution. ... where A and B are the bounds for integration. ... The best material model of a cat is another, ...
    (comp.soft-sys.matlab)
  • Re: Bayesian estimation of structured correlation/covariance
    ... correlation between a pair of paths. ... >> should formulate this as covariance matrix estimation with the ... > large step of using the Wishart/ inverse Wishart distribution for the ... > switch from viewing your problem as one of estimating the covarince ...
    (sci.stat.math)
  • Re: Multivariate distribution
    ... > is there a way in matlab to integrate my multivariate function of 4 ... If the covariance matrix is not diagonal, ... the integration above would not ... Integration of a 4-variate normal pdf over a rectangular ...
    (comp.soft-sys.matlab)
  • Re: Overlapping probability distributions
    ... What is the probability that a random man is taller ... of the two draws) the pair has the bivariate distribution A*B ... now reduces to a 1-dimensional integration. ... about linear combinations of independent normal random variables; ...
    (sci.math)
  • Re: Help me : Transformation of multivariate distribution
    ... K have a spherical distribution not Multivariate Normal. ... while yours are both densities. ... covariance matrix, ... In your case the matrix characterising the ...
    (sci.stat.math)
Loading