# 多元正态分布

fx(x1,...xn)=1(2π)k|Σ|1/2exp(12(xμ)TΣ1(xμ)) $f_{x}(x_{1},...x_{n})=\frac{1}{\sqrt{(2\pi)^{k}}|\Sigma|^{1/2}}exp(-\frac{1}{2}(x-\mu)^{T}\Sigma^{-1}(x-\mu))$ (1)

# 多元正态分布的条件密度

f(xn|x1,...,xn1)=f(x1,...,xn1,xn)f(x1,...,xn1) $f(x_{n}|x_{1},...,x_{n-1})=\frac{f(x_{1},...,x_{n-1},x_{n})}{f(x_{1},...,x_{n-1})}$ (2)，

f(x1,...,xn)=(2π)n/2(|Σ|1/2)exp[12ni,j=1yiqijyj] $f(x_{1},...,x_{n})=(2\pi)^{-n/2}(|\Sigma|^{-1/2})exp[-\frac{1}{2}\sum_{i,j=1}^{n}y_{i}q_{ij}y_{j}]$ (3)

f(x1,...,xn1)=f(x1,...,xn1,xn)dxn=B(y1,...,yn1) $f(x_{1},...,x_{n-1})=\int_\infty^\infty {f(x_{1},...,x_{n-1},x_{n})}\,dx_{n}=B(y_{1},...,y_{n-1})$ (4).

ni,j=1yiqijyj=n1i,j=1yiqijyj+ynn1j=1qnjyj+ynn1i=1qinyj+qnny2n $\sum_{i,j=1}^{n}y_{i}q_{ij}y_{j}=\sum_{i,j=1}^{n-1}y_{i}q_{ij}y_{j}+y_{n}\sum_{j=1}^{n-1}q_{nj}y_{j}+y_{n}\sum_{i=1}^{n-1}q_{in}y_{j}+q_{nn}y_{n}^{2}$(5)

A(y1,...,yn1)B(y1,...,yn1)exp[(Cy2n+D(y1,...,yn1)yn)] $\frac{A(y_{1},...,y_{n-1})}{B(y_{1},...,y_{n-1})}exp[-(Cy_{n}^{2}+D(y_{1},...,y_{n-1})y_{n})]$ (6)

[ABexp(DD24C)]exp[(yn+D2C)2]1C $[\frac{A}{B}exp(\frac{DD^{2}}{4C})]exp[-\frac{(y_{n}+\frac{D}{2C})^{2}]}{\frac{1}{C}}$ (7)

E(Xn|X1,...,Xn1)=μnD2C=μn1qnnn1j=1qnj(Xjμj) $E(X_{n}|X_{1},...,X_{n-1})=\mu_{n}-\frac{D}{2C}=\mu_{n}-\frac{1}{q_{nn}}\sum_{j=1}^{n-1}q_{nj}(X_{j}-\mu_{j})$

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11-20 2万+
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04-03 7550
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