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Multivariate Analysis - Multivariate Normal Distribution Function, Properties of Multivariate Normal

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18 views

Multivariate Analysis - Multivariate Normal Distribution Function, Properties of Multivariate Normal

Uploaded by

Jvs Chandradithya
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Multivariate Analysis

Introduction to
Multivariate
Analysis
•Multivariate analysis involves the
simultaneous observation and analysis
of more than one outcome variable.

•It is commonly used in statistics,


economics, and other fields to
understand relationships between
multiple variables.

•One key concept in multivariate


analysis is the multivariate normal
distribution.
Multivariate Normal Distribution Function

The multivariate normal distribution is a


generalization of the univariate normal
distribution to multiple dimensions.

It is characterized by a mean vector and a


covariance matrix.

The probability density function of a


multivariate normal distribution is given by a
complex formula involving the mean,
covariance matrix, and variables.
Properties of
Multivariate
Normal Distribution
•Symmetry: The multivariate normal
distribution is symmetric around its
mean vector.

•Marginal Distributions: The marginal


distributions of a multivariate normal
distribution are also normal.

•Linear Combinations: Linear


combinations of multivariate normal
variables are also normally
distributed.
Introduction to Conditional Distribution

Conditional distribution refers to the


distribution of a random variable given the
value of another variable.

It allows us to examine how the distribution of


one variable changes based on the value of
another variable.

In regression analysis, understanding the


conditional distribution is crucial for making
predictions and interpreting relationships
between variables.
Multivariate Normal Distribution in Practice

Multivariate normal distributions are commonly


used in statistical modeling and analysis.

They are used in applications such as finance,


economics, and engineering.

Techniques such as principal component


analysis and factor analysis rely on assumptions
of multivariate normality.
Tenfold Validation Overview

Tenfold Validation is a common technique used


in machine learning and data science to evaluate
the performance of a predictive model.

In Tenfold Validation, the original dataset is


randomly partitioned into 10 equal-sized
subsets, also known as folds.

The model is trained on 9 of the folds and tested


on the remaining fold, this process is repeated
10 times, each time using a different fold as the
test set.
Multivariate Normality Testing

Various statistical tests can be used to assess the


assumption of multivariate normality.

Tests such as the Mardia's test or the Shapiro-


Wilk test can be applied to check for deviations
from normality.

Visual inspection of Q-Q plots can also provide


insights into the distribution of the data.
Applications of Multivariate Normal Distribution

Multivariate normal distribution is used in the


analysis of multivariate data sets.

It is used in clustering techniques, discriminant


analysis, and canonical correlation analysis.

Understanding the properties of the multivariate


normal distribution is essential for interpreting
results in these applications.
Subset and Best Model (Step-Wise)

Subset selection is a technique used in statistical


modeling to identify a subset of predictors that
yields the best model performance.

Best model (step-wise) involves adding or


removing variables in a step-wise manner to
find the most predictive model.

Step-wise methods like forward selection,


backward elimination, and bidirectional
elimination are commonly used for subset and
best model selection.
Conclusion

Multivariate normal distribution is a


fundamental concept in multivariate analysis.

Understanding its properties and assumptions is


essential for accurate statistical analysis.

Further research and exploration of alternative


distributions can enhance the modeling
capabilities in multivariate analysis.
References

Johnson, R. A., & Wichern, D. W. (2007).


Applied multivariate statistical analysis.
Pearson Prentice Hall.

Rencher, A. C. (2003). Methods of multivariate


analysis. John Wiley & Sons.
Thank
You

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