Sampling from a MVN Distribution. BMTRY 726 1/17/2014. Sample Mean Vector. We can estimate a sample mean for X 1, X 2, …, X n. Sample Mean Vector. Now we can estimate the mean of our sample But what about the properties of ? It is an unbiased estimate of the mean
Given , the distribution of is called a Wishart distribution with n degrees of freedom.
has a Wishart distribution with n -1 degrees of freedom
The density function is
where A and S are positive definite
Then and Sare consistentestimators for m and S. This means
differs from the hypothesized distribution
Do the points deviate too much from a straight line?
Apply normal based procedures anyway
Hope for the best….
Try to identify an more appropriate multivariate distribution
Check for outliers