Important Probability Distributions
There is a set of probability distributions used in multivariate analyses that play a similar role to the corresponding set of distributions that are used in univariate analysis when the normal distribution is appropriate to a dataset. These multivariate distributions are:
-
- Multivariate normal distribution
- Wishart distribution
- Multivariate Student-t distribution.
The Inverse-Wishart distribution is important in Bayesian inference, for example in Bayesian multivariate linear regression. Additionally, Hotelling's T-squared distribution is a univariate distribution, generalising Student's t-distribution, that is used in multivariate hypothesis testing.
Read more about this topic: Multivariate Statistics
Famous quotes containing the words important and/or probability:
“The management of fertility is one of the most important functions of adulthood.”
—Germaine Greer (b. 1939)
“The probability of learning something unusual from a newspaper is far greater than that of experiencing it; in other words, it is in the realm of the abstract that the more important things happen in these times, and it is the unimportant that happens in real life.”
—Robert Musil (18801942)