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Probability & statistics / English

Multivariate Normal Distribution | Probabilities

math et al · YouTube · 8:24

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The explanation, unpacked.

Reviewed learning material · Video analysis · English
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Reduce multivariate normal probability questions to univariate normal distributions using means and covariances.

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Chapters

0:00Read a marginal distribution3:00A linear combination stays normal6:00Keep the covariance terms

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A component of a jointly normal vector is normal. Its mean comes from the corresponding mean-vector entry, and its variance from the diagonal of the covariance matrix.

For the given jointly normal X₂ and X₃, the combination 5X₂+4X₃ has mean 5(3)+4(7)=435(3)+4(7)=43 and variance 25(4)+16(9)+40(2)=32425(4)+16(9)+40(2)=324, hence standard deviation 18.

For a row coefficient vector a, the variance of aX is aΣaᵀ. Include correlations before standardizing with the resulting standard deviation; marginal normality alone does not guarantee every combination is normal.

Knowledge cards

01

Read a marginal distribution

A component of a jointly normal vector is normal. Its mean comes from the corresponding mean-vector entry, and its variance from the diagonal of the covariance matrix.

02

A linear combination stays normal

For the given jointly normal X₂ and X₃, the combination 5X₂+4X₃ has mean 5(3)+4(7)=435(3)+4(7)=43 and variance 25(4)+16(9)+40(2)=32425(4)+16(9)+40(2)=324, hence standard deviation 18.

03

Keep the covariance terms

For a row coefficient vector a, the variance of aX is aΣaᵀ. Include correlations before standardizing with the resulting standard deviation; marginal normality alone does not guarantee every combination is normal.

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  • Normal distribution ExplanationAt 0:00
    Why this connection?

    A component of a jointly normal vector is normal. Its mean comes from the corresponding mean-vector entry, and its variance from the diagonal of the covariance matrix. For the given jointly normal X₂ and X₃, the combination 5X₂+4X₃ has mean 5(3)+4(7)=435(3)+4(7)=43 and variance 25(4)+16(9)+40(2)=32425(4)+16(9)+40(2)=324, hence standard deviation 18. For a row coefficient vector a, the variance of aX is aΣaᵀ. Include correlations before standardizing with the resulting standard deviation; marginal normality alone does not guarantee every combination is normal.