A characterization of the multivariate normal distribution
Titel:
A characterization of the multivariate normal distribution
Auteur:
Fieger, W.
Verschenen in:
Communications in statistics
Paginering:
Jaargang 6 (1977) nr. 2 pagina's 135-140
Jaar:
1977
Inhoud:
The not independent identically distributed random variables X1,…,Xn (with zero means and finite variances) are distributed according to a nondegenerate multivariate normal distribution if and only if [image omitted] (with a suitable chosen matrix B) has independent components U1,…,Un and X1,…,Xn, U1,…,Un are identically distributed.