# Questions tagged [multivariate-distribution]

Probability distribution over vectors (as opposed to univariate distributions that are over numbers).

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### Multivariate Normal distribution Cramer-Rao bound

How to compute the Cramer-Rao lower bound for $\mu$ of a multivariate normal distribution $\mathcal{N}_{p}(2\mu,\Sigma_0)$. Also I would like to know the minimum variance unbiased estimators for $\mu$....
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### Bivariate random effect problems in selection models (Mixture Cure model)

I am currently working on a mixed effects selection model. The selection model is a logistic model with a Gaussian random effect. The principal model is a survival model with a Gaussian random effect (...
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### Is the mvt (multivariate t) adjustment for multiplicity appropriate for repeated measures and longitudinal trials?

As in the title. If I have a longitudinal experiment with t0...tn timepoints, and want to verify the Dunnett contrast (all versus baseline), can I use the mvt adjustment for multiplicity? I think it ...
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### What does i.i.d. mean for multivariate case?

When we say a random variable is i.i.d., it's often used to describe the dependency between the observations of that random variable, which I call the row dimension, indexed by time if it's a time ...
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### How does the maximum entropy principle affect joint entropy, mutual information, and other info measures?

The maximum entropy principle says that we should use the probability distribution of a univariate dataset that has the highest level of entropy because it offers the lowest information. How does the ...
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### Normal random matrix as linear transformation of standard normal random matrix?

Wikipedia has the following definition of a normal random vector: A real random vector $\mathbf{X} = (X_1,\ldots,X_k)^{\mathrm T}$ is called a normal random vector if there exists a random $\ell$-...
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### How to learn dependency of variables from data?

I have a data set $X$ that consist of $m$ vectors $\vec{x}$ of $n$ real valued components. Each vector component lies within a corresponding predefined interval of valid values, which is the same for ...
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### Ornstein-Uhlenbeck process

Given a multivariate Ornstein-Uhlenbeck process that is a stochastic process, is it correct that each component of this process is a univariate Ornstein-Uhlenbeck process?
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### Something like Mahalanobis distance when the copula is not Gaussian

Mahalanobis distance accounts for different variances of the marginal variables and correlations between the marginal variables. However, there is an implicit (maybe explicit) assumption that ...