p-values from a wishart distribution
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I am not a statistician but try to apply some multivariate statistics in order to find outliers (abnormal distances) in a distance matrix.
Here is my problem:
I have a $p times p$ matrix $D$ of distances between random samples of size $n$. If I understood well, the elements of the inverse matrix should follow a Wishart distribution $Wp(V,ν)$. Let's assume I know $V$ and $v=n$.
I have 2 questions:
Is it correct to generate a matrix of numbers following the same Wishart distribution, taking the empirical cumulative distribution function and identify outliers in this matrix using the e.c.d.f.?
I read somewhere that any submatrix of a matrix following Wishart distribution is folowing the same distribution (Wishart with same parameters). Does the submatrix having the same ecdf ?
Is there a simpler way get p-values for each of my pairwise distances?
Thank you!
probability probability-distributions random-matrices
asked Dec 7 '18 at 3:37
user2913299user2913299
12
$endgroup$
add a comment |
$begingroup$
I am not a statistician but try to apply some multivariate statistics in order to find outliers (abnormal distances) in a distance matrix.
Here is my problem:
I have a $p times p$ matrix $D$ of distances between random samples of size $n$. If I understood well, the elements of the inverse matrix should follow a Wishart distribution $Wp(V,ν)$. Let's assume I know $V$ and $v=n$.
I have 2 questions:
Is it correct to generate a matrix of numbers following the same Wishart distribution, taking the empirical cumulative distribution function and identify outliers in this matrix using the e.c.d.f.?
I read somewhere that any submatrix of a matrix following Wishart distribution is folowing the same distribution (Wishart with same parameters). Does the submatrix having the same ecdf ?
Is there a simpler way get p-values for each of my pairwise distances?
Thank you!
probability probability-distributions random-matrices
asked Dec 7 '18 at 3:37
user2913299user2913299
12
$endgroup$
add a comment |
$begingroup$
I am not a statistician but try to apply some multivariate statistics in order to find outliers (abnormal distances) in a distance matrix.
Here is my problem:
I have a $p times p$ matrix $D$ of distances between random samples of size $n$. If I understood well, the elements of the inverse matrix should follow a Wishart distribution $Wp(V,ν)$. Let's assume I know $V$ and $v=n$.
I have 2 questions:
Is it correct to generate a matrix of numbers following the same Wishart distribution, taking the empirical cumulative distribution function and identify outliers in this matrix using the e.c.d.f.?
I read somewhere that any submatrix of a matrix following Wishart distribution is folowing the same distribution (Wishart with same parameters). Does the submatrix having the same ecdf ?
Is there a simpler way get p-values for each of my pairwise distances?
Thank you!
probability probability-distributions random-matrices
asked Dec 7 '18 at 3:37
user2913299user2913299
12
$endgroup$
I am not a statistician but try to apply some multivariate statistics in order to find outliers (abnormal distances) in a distance matrix.
Here is my problem:
I have a $p times p$ matrix $D$ of distances between random samples of size $n$. If I understood well, the elements of the inverse matrix should follow a Wishart distribution $Wp(V,ν)$. Let's assume I know $V$ and $v=n$.
I have 2 questions:
Is it correct to generate a matrix of numbers following the same Wishart distribution, taking the empirical cumulative distribution function and identify outliers in this matrix using the e.c.d.f.?
I read somewhere that any submatrix of a matrix following Wishart distribution is folowing the same distribution (Wishart with same parameters). Does the submatrix having the same ecdf ?
Is there a simpler way get p-values for each of my pairwise distances?
Thank you!
probability probability-distributions random-matrices
probability probability-distributions random-matrices
asked Dec 7 '18 at 3:37
user2913299user2913299
12
asked Dec 7 '18 at 3:37
user2913299user2913299
12
edited Dec 7 '18 at 4:08
user2913299
asked Dec 7 '18 at 3:37
user2913299user2913299
12
asked Dec 7 '18 at 3:37
user2913299user2913299
12
asked Dec 7 '18 at 3:37
user2913299user2913299
12
12
add a comment |
add a comment |
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