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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

2 votes
2 answers
2k views

Dependence between direction and magnitude of multivariate normal random vector

Suppose that $x\sim N(0, V)$ is $p$ dimensional with $V$ diagonal having elements $v_i^2$. Then \begin{align} f_x(x) & \propto \left(\prod_p v_i\right)^{-1} \exp\left(-\frac{1}{2}\sum_p \frac{x^2_i}{ …
JMS's user avatar
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6 votes
2 answers
2k views

Marginal distribution of the diagonal of an inverse Wishart distributed matrix

This is a cross-posting of a question I asked at CrossValidated. It hasn't generated much activity so I'm trying here: Suppose $X\sim \operatorname{InvWishart}(\nu, \Sigma_0)$. I'm interested in the …
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  • 269