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Tagged with highest-density-region multivariate-analysis
2 questions
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How to determine the cut off value of an hyperellipsoid in order to retrieve a single quantile of a multivariate normal distribution?
Introduction
My goal is to retrieve the $\alpha$ quantile of a N(0, H) (multivariate normal) random variable $X$ where H is a known d-dimensional positive definite matrix (with $d >3$). In other ...
- 85
5
votes
1
answer
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Computing Highest Density Region given multivariate normal distribution with dimension $d$ > 3
Background:
Suppose I have a unimodal symmetric distribution of dimension $d$ > 3 such as the multivariate normal distribution ~ N(0, H), where H is a known $d$-dimensional covariance matrix.
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- 85