Archive for matrix algebra

What are the distributions on the positive k-dimensional quadrant with parametrizable covariance matrix?

Posted in Books, pictures, Statistics, University life with tags , , , , , , on March 30, 2012 by xi'an

This is the question I posted this morning on StackOverflow, following an exchange two days ago with a user who could not see why the linear transform of a log-normal vector X,

Y = μ + Σ X

could lead to negative components in Y…. After searching a little while, I could not think of a joint distribution on the positive k-dimensional quadrant where I could specify the covariance matrix in advance. Except for a pedestrian construction of (x1,x2) where x1 would be an arbitrary Gamma variate [with a given variance] and x2 conditional on x1 would be a Gamma variate with parameters specified by the covariance matrix. Which does not extend nicely to larger dimensions.

Matrix tricks [by Puntanen, Styan, & Isolato]

Posted in Books, pictures, Statistics, University life with tags , , , , on October 15, 2011 by xi'an

While I have not read it but only browsed through, the book Matrix Tricks for Linear Statistical Models:  Our Personal Top Twenty by Simo Puntanen, George P. H. Styan and Jarkko Isotalo, sounds like a very enjoyable book! Containing not only tricks, but also stories, pictures, and even stamps! Simo is the current editor of the book review section of the International Statistical Review, who is handling with much benevolence my book reviews, while George was for many years the fantastic editor of the IMS Bulletin. (Just to warn the readership I may be slightly biased in my evaluation!)

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