建模分析中的联合正态分布与仿真

Joint Normal Distribution in the Model Analysis and Simulation

  • 摘要: 服从联合正态分布的随机向量的线性变换性质在许多问题的建模分析中非常重要。该文通过矩阵分析表明,n维联合正态随机向量只有在行满秩线性变换之下才能得到服从联合正态分布的新的随机向量,否则服从退化的联合正态分布。该文还设计了数值实验进行仿真分析,实验结果显示了不同变换情况下点的随机性差异。

     

    Abstract: The linear transformation properties on the jointly normally distributed of random vector are very important in modeling analysis in many problems.This paper has proved by matrix analysis,that the new random vector based on linear transform of n dimension joint normal random vector,has a joint normal distribution only if the linear transformation is with row full rank.Otherwise,it is subject to the degenerate joint normal distribution.In this paper,a numerical experiment is designed to simulate and analyze the theoretical results.The experimental results show the randomness of the points under different transformations.

     

/

返回文章
返回