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Re: Multivariate pdf of a normal distribution
From: |
Mike Miller |
Subject: |
Re: Multivariate pdf of a normal distribution |
Date: |
Mon, 7 Nov 2005 09:36:15 -0600 (CST) |
On Sun, 6 Nov 2005, Henry F. Mollet wrote:
octave:27> [E,L] = eig(ones(4))
E =
-1.7253e-01 4.6929e-01 7.0711e-01 5.0000e-01
-1.7253e-01 4.6929e-01 -7.0711e-01 5.0000e-01
-4.9115e-01 -7.1328e-01 -6.8934e-17 5.0000e-01
8.3620e-01 -2.2530e-01 9.7203e-18 5.0000e-01
L =
-0.00000 0.00000 0.00000 0.00000
0.00000 -0.00000 0.00000 0.00000
0.00000 0.00000 -0.00000 0.00000
0.00000 0.00000 0.00000 4.00000
GNU Octave, version 2.1.71 (powerpc-apple-darwin8.1.0).
Why do I not get the same results?
(Same results as below.) Well, I don't really know, but we are both using
Octave 2.1.71, though mine was compiled on Red Hat Linux with a different
BLAS. The ordering of the first three columns is arbitrary. We have two
columns that are the same to within machine precision. The other two
columns are more mysterious. I'll have to guess that with zero
eigenvalues, the eigenvectors are fairly arbitrary, so both solutions are
correct but they've used slightly different algorithms.
Only look at non-zero eigenvalue and corresponding eigenvector?
The problem is in identifying "non-zero" eigenvalues. They usually are
not *exactly* zero.
Mike
octave:6> [E,L] = eig(ones(4))
E =
-3.2026e-01 7.0711e-01 3.8397e-01 5.0000e-01
-3.2026e-01 -7.0711e-01 3.8397e-01 5.0000e-01
-2.2276e-01 -5.9234e-17 -8.3689e-01 5.0000e-01
8.6328e-01 -4.4132e-19 6.8941e-02 5.0000e-01
L =
-0.00000 0.00000 0.00000 0.00000
0.00000 0.00000 0.00000 0.00000
0.00000 0.00000 0.00000 0.00000
0.00000 0.00000 0.00000 4.00000
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-------------------------------------------------------------
- Re: Multivariate pdf of a normal distribution, (continued)
Re: Multivariate pdf of a normal distribution, Michael Creel, 2005/11/07
Re: Multivariate pdf of a normal distribution, Gorazd Brumen, 2005/11/06