Confidence Ellipse for

Bivariate Normal Data

LPGA Driving Distance and Fairway Percent – 2008 Season
 Overview of Method
1. Obtain Bivariate Data on n Units
2. Compute the Estimated Means and Variance-Covariance Matrix
3. Obtain the Eigenvalues and Eigenvectors of the Estimated Variance-Covariance
Matrix
4. Choose the Confidence Coefficient for the Ellipsoid and obtain the critical value
corresponding to it for the Chi-Square Distribution with df=2
5. Form a grid of angles from 0 to 2p radians (equivalently, 0 to 360 degrees)
6. Obtain the Base of the Ellipse scaling the cosine of the angle for “X” and the sine
of the angle for “Y”
7. Rotate the ellipse
8. Center the Ellipse
9. Add Major and Minor Axes
Plot of Fairway % vs Drive Distance with Marginal Histograms
Plot of Fairway % vs Drive Distance with Marginal Densities
 Sample Means, Variance-Covariance Matrix, and
Eigenvalues/Eigenvectors
 x11 x12   249.4 64.6 
 x x22   253.8
 21  62.7 
1  246.7108
n  156 X M M M M x  X'1n   
    n  67.5777 
 x155,1 x155,2   235.2 78.3 
 x156,1 x156,2   254.3 67.2 

1  1   89.0538 22.9350 
S X'  I n  J n  X  
n 1  n   22.9350 33.3357 

Computing eigenvalues and eigenvectors of S :

x1 x2
S   I  0 Sx1  1x1 Sx 2  2 x 2 e1  e2 
x1'x1 x 2'x 2
 0.94129   0.33761  0.9413 0.3376 
 1  97.27994 2  25.10957 e1   e 
 2  0.94129  P   1 2 
e e  
 0.33761     0.3376 0.9413
Confidence Coefficient: 1-   0.95  22 .05   5.991
 Setting up and rotating the ellipse
 0   0 
 1   2 1 / 360 
     2 D
Obtain a set of angles from 0 to 360 degrees or 0 to 2 radians:      or      Note that R and EXCEL use Radians R 
    360
359   2 359  / 360 
360   2 
Obtain the base of the ellipsis with squared statistical distance c 2   22  :
B1    1c 2 cos    97.27994(5.991) cos    24.14134 cos   B2    2 c2 sin    25.10597(5.991) sin    12.26417 sin  
 24.14134 cos  0  12.26417 sin 0    24.14134 0.00000 
 
 24.14134 cos  2 1 / 360  12.26417 sin  2 1 / 360    24.13766 0.21404 
 
B      
   
 24.14134 cos  2 359  / 360  12.26417 sin 2 359  / 360   24.13766 0.21404 
   24.14134 0.00000 
 24.14134 cos  2  12.26417 sin  2    
 24.14134 0.00000   22.7239 8.1504 
 24.13766 0.21404   
   0.94129 0.33761   22.7927 7.9477 
Rotate the base of the ellipsis by multiplying B by P' : R = BP'         
   0.33761 0.94129   
 24.13766 0.21404   22.6482 8.3507 
 24.14134 0.00000   22.7239 8.1504 
 246.7108 67.5777   223.9870 75.7281
 246.7108 67.5777   223.9182 75.5254
   
Add the the "Center Point" to each observation: x      Y  Rx      Plot the second column of Y versus the first
   
 246.7108 67.5777   224.0627 75.9284 
 246.7108 67.5777   223.9870 75.7281
Adding the Major and Minor Axes and Data Points
Obtain the square root of the variance-covariance matrix:
 0  97.27994 0 
S1/2  PΛ1/ 2 P' Λ   1 
 
 0 2   0 25.10597 

1/ 2  0.94129 0.33761  97.2799 0   0.94129 0.33761  9.2840 1.6916 

 S       3.3299 4.7164 
 0.33761  0.94129   0 25.0916   0.33761  0.94129   

Create the following 2 matrices where c 2 is the squared statistical distance for the ellipse:
 x1  S 1/ 2 c 2 x1  S121/2 c 2   223.9870 242.5703  x 2  S 1/2 c 2 1/2
x 2  S22 c 2   75.7281 56.0336 
11 21
X 
*
  Y 
*
 
 x1  S111/2 c 2 1/2
x1  S12 c  2 
 269.4347 250.8514   x 2  S 21
1/2
c2 1/2
x 2  S 22 c 2 
 59.4273 79.1218 
Place points at  X11
*
, Y11*  and X
*
21 , Y21*  and join with a line (Major axis)
Place points at  X12
*
, Y12*  and X
*
22 , Y22*  and join with a line (Minor axis)

Add Data Points.

 Fairway Percent (X2) versus Drive Distance (X1) with 95% Confidence Ellipse
85

80

75

70
Fairway Percent

Series1
65
Series2
Series3
Series4
60

55

50

45
220 225 230 235 240 245 250 255 260 265 270 275
Drive Distance