Probability Density When an Independent Observation is from an Estimated Multivariate Normal Population.
NAVAL MISSILE CENTER POINT MUGU CALIF
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The purpose of this paper is to derive the exact probability density for a sample vector from a multivariate normal population with estimated parameters. A general theorem and two applications-oriented corollaries were developed toward this end. When their assumptions can be met, these corollaries are useful for answering questions such as How unlikely is it that a particular observation arose from a specified population and To which of several populations does a particular observation most likely belong. Some methods for applying the results are discussed, with emphasis on answering these two questions. Author
- Statistics and Probability