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Published in:
2012 | OriginalPaper | Chapter
Theory of the Multinormal
Authors : Wolfgang Karl Härdle, Léopold Simar
Published in: Applied Multivariate Statistical Analysis
Publisher: Springer Berlin Heidelberg
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In the preceeding chapter we saw how the multivariate normal distribution comes into play in many applications. It is useful to know more about this distribution, since it is often a good approximate distribution in many situations. Another reason for considering the multinormal distribution relies on the fact that it has many appealing properties: it is stable under linear transforms, zero correlation corresponds to independence, the marginals and all the conditionals are also multivariate normal variates, etc. The mathematical properties of the multinormal make analyses much simpler.