正态随机向量的多元全正二序性质的研究  

Study on Multivariate Totally Positive of Order 2 Nature of Normal Random Vector

作　　者：李兴娟[1] 李树有[1] 宓颖[1] 

机构地区：[1]辽宁工业大学数理科学系,辽宁锦州121001

出　　处：《辽宁工业大学学报（自然科学版）》2009年第4期272-275,共4页Journal of Liaoning University of Technology(Natural Science Edition)

基　　金：辽宁省教育厅资助项目(20060409)

摘　　要：给出了一般情况下多元全正二序(MTP2)性质的广义形式并加以推广,进一步证明了边缘概率密度也滿足MTP2这个性质。特别是针对多元正态分布,应用随机向量满足MTP2性质的等价条件,建立M-矩阵和协方差矩阵之间的联系,从而得到该分布的协方差矩阵具有的相关性质。The general formulation of multivariate totally positive of order 2 nature in general was presented and promoted. In addition, the MTP2 property was proved to have met with every marginal density. Especially against the multivariate normal distribution, the link between M-Matrix and covariance matrix was established by using random vector to have met the equivalent condition of MTP2 nature, thus the related properties of the covariance matrix under this distribution were obtained.

关 键 词：M-矩阵 MTP2 多元正态分布 

分 类 号：O21[理学—概率论与数理统计]