Multivariate_random_variable Multivariate_random_variable

Multivariate random variable - Definition

A multivariate random variable or random vector is a vector X=(X1,...,Xn) whose components are scalar-valued random variables on the same probability space (Ω, P). Every such random vector gives rise to a probability measure on Rn with the Borel algebra as underlying sigma-algebra. This measure is also known as the joint distribution of the random vector. The distributions of each of the component random variables Xi are called marginal distributions.

Contents
1 Conditional expectation
2 Independence
3 Covariance
4 Examples

Conditional expectation

Independence

Covariance

Examples

Multivariate Gaussian distribution


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Example Usage of Multivariate
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