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MVN Formulas2022
MVN Formulas2022
Department of Statistics
where Sv i = λi v i , v ′i v i = 1, i = 1, . . . , p..
(3) Simultaneous T 2 -intervals for a′ µ
s
p(n − 1)
a′ x̄ ± Fp,n−p (α)a′ Sa.
n(n − p)
H (n − 1)p
n(X̄ − µ0 )′ S −1 (X̄ − µ0 ) ∼0 Fp;n−p (α)
n−p
.
(5) For two-sample problem: If Σ1 = Σ2 ,
n1 n2 (n1 + n2 − 2)p
(X̄ 1 − X̄ 2 − (µ1 − µ2 ))′ S −1
pooled (X̄ 1 − X̄ 2 − (µ1 − µ2 )) ∼ Fp;n1 +n2 −p−1 (α),
n1 + n2 n1 + n2 − p − 1
where
1
Spooled = ((n1 − 1)S 1 + (n2 − 1)S 2 ) .
n1 + n2 − 2
For large n1 and n2 ,
−1
1 1
(X̄ 1 − X̄ 2 − (µ1 − µ2 )) ′
S1 + S2 (X̄ 1 − X̄ 2 − (µ1 − µ2 )) ∼ χ2p .
n1 n2 approx
(6) For multiple sample problem:
|W |
Λ∗ = ,
|W + B|
where B and W denote the between and within SSCP matrices, respectively.
Distribution of Wilks’ Lambda Λ∗
No. of No. of
variables groups Sampling distribution
P
nl −g 1−Λ∗
∼ Fg−1,P nl −g
p=1 g≥2 g−1 Λ∗
P √
nl −g−1 1−√ Λ ∼ F2(g−1),2(P nl −g−1)
∗
p=2 g≥2 g−1 Λ∗
P
nl −p−1 1−Λ∗
∼ Fp,P nl −p−1
p≥1 g=2 p Λ∗
P √
nl −p−2 1−√ Λ ∼ F2p,2(P nl −p−2)
∗
p≥1 g=3 p Λ∗
P
If l nl is large,
p+g H
− n−1− ln Λ∗ ∼0 χ2p(g−1) ,
2 approx
(7) Test for parallel profiles for two normal populations: Reject H0 at level α if
−1
T 2 = (x̄1 − x̄2 )′ C ′ S̃ C(x̄1 − x̄2 ) > c2 ,
where
(n1 + n2 − 2)(p − 1)
c2 = Fp−1,n1+n2 −p (α),
n1 + n2 − p
n1 + n2
S̃ = CS pooled C ′ .
n1 n2
Test for coincident profiles for two normal populations: Reject H0 at level α if
2
1′ (x̄1 − x̄2 )
T2 =
> F1,n +n −2(α) .
1 2
r
n1 +n2 ′
n1 n2
1 S pooled 1
Test for level profiles for two normal populations: Reject H0 at level α if
where
(n1 + n2 − 1)(p − 1)
c2 = Fp−1,n1+n2 −p+1(α) ,
(n1 + n2 − p + 1)
n1 n2
x̄ = x̄1 + x̄2 .
n1 + n2 n1 + n2
(8) Suppose p ≤ q.
−1/2 −1 −1/2
Let ρ̂∗2
1 ≥ . . . ≥ ρ̂p be the p ordered eigenvalues of the p × p matrix R11 R12 R22 R21 R11
∗2
with the corresponding eigenvectors ê1 , . . . , êp . Let f̂ 1 , . . . , f̂ p be the eigenvectors of the q × q
−1/2 −1/2
matrix R22 R21 R−1 11 R12 R22 , where the first p eigenvectors f̂ ’s may be obtained from
1 −1/2 −1/2
f̂ k = ρ̂k
R22 R21 R11 êk ,
where z (1) and z (2) ) are the values of the standardized variables Z (1) and Z (2) ) for a particular
experimental unit. Also, the first sample canonical variate pair has the maximum sample
correlation
is the largest possible correlation among linear combinations uncorrelated with the preceding
k − 1 sample canonical variates.
The quantities ρ̂∗1 , . . . , ρ̂∗p are the sample canonical correlations.