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:
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- 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
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