Matrix normal distribution

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Matrix normal
Notation \mathcal{MN}_{n,p}(\mathbf{M}, \mathbf{U}, \mathbf{V})
Parameters

\mathbf{M} location (real n\times p matrix)
\mathbf{U} scale (positive-definite real n\times n matrix)

\mathbf{V} scale (positive-definite real p\times p matrix)
Support \mathbf{X} \in \mathbb{R}^{n \times p}
pdf \frac{\exp\left( -\frac{1}{2} \, \mathrm{tr}\left[ \mathbf{V}^{-1} (\mathbf{X} - \mathbf{M})^{T} \mathbf{U}^{-1} (\mathbf{X} - \mathbf{M}) \right] \right)}{(2\pi)^{np/2} |\mathbf{V}|^{n/2} |\mathbf{U}|^{p/2}}
Mean \mathbf{M}
Variance \mathbf{U} (among-row) and \mathbf{V} (among-column)

In statistics, the matrix normal distribution is a probability distribution that is a generalization of the multivariate normal distribution to matrix-valued random variables.

Definition[edit]

The probability density function for the random matrix X (n × p) that follows the matrix normal distribution \mathcal{MN}_{n,p}(\mathbf{M}, \mathbf{U}, \mathbf{V}) has the form:


p(\mathbf{X}|\mathbf{M}, \mathbf{U}, \mathbf{V}) = \frac{\exp\left( -\frac{1}{2} \, \mathrm{tr}\left[ \mathbf{V}^{-1} (\mathbf{X} - \mathbf{M})^{T} \mathbf{U}^{-1} (\mathbf{X} - \mathbf{M}) \right] \right)}{(2\pi)^{np/2} |\mathbf{V}|^{n/2} |\mathbf{U}|^{p/2}}

where \mathrm{tr} denotes trace and M is n × p, U is n × n and V is p × p.

The matrix normal is related to the multivariate normal distribution in the following way:

\mathbf{X} \sim \mathcal{MN}_{n\times p}(\mathbf{M}, \mathbf{U}, \mathbf{V}),

if and only if

\mathrm{vec}(\mathbf{X}) \sim \mathcal{N}_{np}(\mathrm{vec}(\mathbf{M}), \mathbf{V} \otimes \mathbf{U})

where \otimes denotes the Kronecker product and \mathrm{vec}(\mathbf{M}) denotes the vectorization of \mathbf{M}.

Proof[edit]

The equivalence between the above matrix normal and multivariate normal density functions can be shown using several properties of the trace and Kronecker product, as follows. We start with the argument of the exponent of the matrix normal PDF:

\begin{align}
&\;\;\;\;-\frac12\text{tr}\left[ \mathbf{V}^{-1} (\mathbf{X} - \mathbf{M})^{T} \mathbf{U}^{-1} (\mathbf{X} - \mathbf{M}) \right]\\

&= -\frac12\text{vec}\left(\mathbf{X} - \mathbf{M}\right)^T
\text{vec}\left(\mathbf{U}^{-1} (\mathbf{X} - \mathbf{M}) \mathbf{V}^{-1}\right) \\

&= -\frac12\text{vec}\left(\mathbf{X} - \mathbf{M}\right)^T
\left(\mathbf{V}^{-1}\otimes\mathbf{U}^{-1}\right)\text{vec}\left(\mathbf{X} - \mathbf{M}\right) \\

&= -\frac12\left[\text{vec}(\mathbf{X}) - \text{vec}(\mathbf{M})\right]^T
\left(\mathbf{V}\otimes\mathbf{U}\right)^{-1}\left[\text{vec}(\mathbf{X}) - \text{vec}(\mathbf{M})\right] 
\end{align}

which is the argument of the exponent of the multivariate normal PDF. The proof is completed by using the determinant property:  |\mathbf{V}\otimes \mathbf{U}| = |\mathbf{V}|^n |\mathbf{U}|^p.

Properties[edit]

If \mathbf{X} \sim \mathcal{MN}_{n\times p}(\mathbf{M}, \mathbf{U}, \mathbf{V}), then we have the following properties:[1]

Expected values[edit]

The mean, or expected value is:

E[\mathbf{X}] = \mathbf{M}

and we have the following second-order expectations:[2]

E[(\mathbf{X} - \mathbf{M})(\mathbf{X} - \mathbf{M})^{T}]
= \mathbf{U}\operatorname{tr}(\mathbf{V})
E[(\mathbf{X} - \mathbf{M})^{T} (\mathbf{X} - \mathbf{M})]
= \mathbf{V}\operatorname{tr}(\mathbf{U})

where \operatorname{tr} denotes trace.

More generally, for appropriately dimensioned matrices A,B,C:

\begin{align}
E[\mathbf{X}\mathbf{A}\mathbf{X}^{T}]
&= \mathbf{U}\operatorname{tr}(\mathbf{A}^T\mathbf{V}) + \mathbf{MAM}^T\\

E[\mathbf{X}^T\mathbf{B}\mathbf{X}]
&= \mathbf{V}\operatorname{tr}(\mathbf{U}\mathbf{B}^T) + \mathbf{M}^T\mathbf{BM}\\

E[\mathbf{X}\mathbf{C}\mathbf{X}]
&= \mathbf{U}\mathbf{C}^T\mathbf{V} + \mathbf{MCM}
\end{align}

Transformation[edit]

Transpose transform:

\mathbf{X}^T \sim \mathcal{MN}_{p\times n}(\mathbf{M}^T, \mathbf{V}, \mathbf{U})

Linear transform: let D (r-by-n), be of full rank r ≤ n and C (p-by-s), be of full rank s ≤ p, then:

\mathbf{DXC}\sim \mathcal{MN}_{n\times p}(\mathbf{DMC}, \mathbf{DUD}^T, \mathbf{C}^T\mathbf{VC})

Example[edit]

Let's imagine a sample of n independent p-dimensional random variables identically distributed according to a multivariate normal distribution:

\mathbf{Y}_i \sim \mathcal{N}_p({\boldsymbol \mu}, {\boldsymbol \Sigma}) \text{ with } i \in \{1,\ldots,n\}.

When defining the n × p matrix \mathbf{X} for which the ith row is \mathbf{Y}_i, we obtain:

\mathbf{X} \sim \mathcal{MN}_{n \times p}(\mathbf{M}, \mathbf{U}, \mathbf{V})

where each row of \mathbf{M} is equal to {\boldsymbol \mu}, that is \mathbf{M}=\mathbf{1}_n \times {\boldsymbol \mu}^T, \mathbf{U} is the n × n identity matrix, that is the rows are independent, and \mathbf{V} = {\boldsymbol \Sigma}.

Relation to other distributions[edit]

Dawid (1981) provides a discussion of the relation of the matrix-valued normal distribution to other distributions, including the Wishart distribution, Inverse Wishart distribution and matrix t-distribution, but uses different notation from that employed here.

See also[edit]

References[edit]

  1. ^ A K Gupta; D K Nagar (22 October 1999). "Chapter 2: MATRIX VARIATE NORMAL DISTRIBUTION". Matrix Variate Distributions. CRC Press. ISBN 978-1-58488-046-2. Retrieved 23 May 2014. 
  2. ^ Ding, Shanshan; R. Dennis Cook (2014). "DIMENSION FOLDING PCA AND PFC FOR MATRIX- VALUED PREDICTORS". Statistica Sinica 24 (1): 463–492.