Timeline for Analytical solution to the multivariate CDF given multivariate pdf
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 8 at 20:03 | history | bumped | CommunityBot | This question has answers that may be good or bad; the system has marked it active so that they can be reviewed. | |
| Jul 10, 2019 at 10:48 | history | edited | Highness | CC BY-SA 4.0 |
deleted 15 characters in body
|
| Jul 10, 2019 at 10:45 | comment | added | Highness | The point that makes this tricky is that they are not independent and that is a main feature of the problem. Assuming that they are independent solves a different problem | |
| Jul 10, 2019 at 10:44 | answer | added | Fabian Werner | timeline score: 1 | |
| Jul 10, 2019 at 9:54 | comment | added | Fabian Werner | If the whole vector $(X_1,...,X_4)$ is a multivariare Gaussian then you could diagonalise the covariace matrix, i.e. assume that they are independent one dimensional Gaussians. Then I think (not sure here) that $X_i - X_1$ are also independent (Gaussians). Then $P[X_2-X_1<a,X_3-X_1<b,...]=P[X_2-X_1<a]*...$ is a product of $\Phi$ functions... | |
| Jul 10, 2019 at 9:30 | review | First posts | |||
| Jul 10, 2019 at 10:05 | |||||
| Jul 10, 2019 at 9:26 | history | asked | Highness | CC BY-SA 4.0 |