Eleisha's Segment 17: The Multivariate Normal Distribution

From Computational Statistics Course Wiki
Revision as of 11:02, 25 February 2014 by Eleishaj (talk | contribs)
Jump to navigation Jump to search

To Calculate:

1. Calculate the Jacobian determinant of the transformation of variables defined by

2. Consider the 3-dimensional multivariate normal over with and

(Note the matrix inverse notation.)

What are 2-dimensional and for

(a) the distribution on the slice?

(b) the marginalization over  ?

Hint: The answers are all simple rationals, but I had to use Mathematica to work them out.