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Old 03-03-2011, 06:35 PM
ilevy ilevy is offline
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Default HW5 - Isaac

I'm confused about multivariate chi-square. Is our chi square model (the one we wish to minimize):

, given data vectors, ?

Our data is already Gaussian, but we need to generate an empirical chi-square for multivariates...
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Old 03-05-2011, 10:20 AM
Courtney Courtney is offline
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So in lecture 10 there's a slide that says that the chisquared is the above formula when the entries of data vector x are normal but not necessarily independent. What we need is to get something in the form

chi^2 = sum (yi) where the yi's ARE independent.

Here's the strategy:
1. Use the fact that Sigma is positive definite and use Cholesky decomposition to put the RHS into the form mentioned.

2. Prove that those yi's are independent

Siavash did a good job with the proof.
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Old 03-06-2011, 08:58 PM
ilevy ilevy is offline
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Thanks Courtney.
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