Timeline for Which orthant probabilities are the largest? (For a multivariate normal distribution)
Current License: CC BY-SA 4.0
6 events
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| Jan 21, 2023 at 19:51 | history | edited | Jukka Kohonen | CC BY-SA 4.0 |
nicer vertical bars for the vector norm
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| Jan 21, 2023 at 19:36 | answer | added | Jukka Kohonen | timeline score: 2 | |
| Jun 27, 2021 at 0:49 | comment | added | user44143 | This seems right to me. A nice example is $$\Sigma=\left( \begin{array}{cccc} 27 & -3 & -9a & 3a \\ -3 & 35 & -3a & a \\ -9a & -3a & 27 & -3 \\ 3a & a & -3 & 19 \\ \end{array} \right)$$ where $a=2/\sqrt{5}$. Then $\lambda_1=36$ and $\lambda_2=18$ both have 2-dimensional eigenspaces, and among the 16 possibilities for $\epsilon$ there are 8 different values for $p_\epsilon$, which indeed have the same order as $\|v_1\|$. | |
| Apr 7, 2020 at 11:18 | history | edited | Matthew Harrison-Trainor |
edited tags
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| Apr 7, 2020 at 1:00 | review | First posts | |||
| Apr 7, 2020 at 6:03 | |||||
| Apr 7, 2020 at 0:57 | history | asked | Matthew Harrison-Trainor | CC BY-SA 4.0 |