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 search for the truth is the most important work in the whole world, and the most dangerous.”
—James Clavell (b. 1924)
“Only in Britain could it be thought a defect to be too clever by half. The probability is that too many people are too stupid by three-quarters.”
—John Major (b. 1943)