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  | name      = multivariate stable
  | type      = multivariate
  | pdf_image = [[File:Mv stable.png|220px]]<br/> <small>Heatmap showing a Multivariate (bivariate) stable distribution with&nbsp;''&alpha;''&nbsp;=&nbsp;1.1</small>
  | cdf_image =
  | parameters = <math>\alpha \in (0,2]</math> — [[exponent]]<br/><math>\delta \in \mathbb{R}^d</math> - shift/location vector<br><math>\Lambda(s)</math> - a spectral finite measure on the sphere
  | support    = <math>u \in \mathbb{R}^d</math>
  | pdf        = (no analytic expression)
  | cdf        = (no analytic expression)
  | mean      =
  | median    =
  | mode      =
  | variance  = Infinite when <math>\alpha < 2</math>
  | skewness  =
  | kurtosis  =
  | entropy    =
  | mgf        =
  | char      = see text
  }}
 
The '''multivariate stable distribution''' is a multivariate [[probability distribution]] that is a multivariate generalisation of the univariate [[stable distribution]].  The multivariate stable distribution defines linear relations between [[stable distribution]] marginals.{{clarify|date=January 2011}} In the same way as for the univariate case, the distribution is defined in terms of its [[characteristic function (probability theory)|characteristic function]].
 
The multivariate stable distribution can also be thought as an extension of the [[multivariate normal distribution]]. It has parameter,&nbsp;''&alpha;'', which is defined over the range 0&nbsp;<&nbsp;''&alpha;''&nbsp;≤&nbsp;2, and where the case&nbsp;''&alpha;''&nbsp;=&nbsp;2 is equivalent to the multivariate normal distribution. It has an additional skew parameter that allows for non-symmetric distributions, where the [[multivariate normal distribution]] is symmetric.
 
== Definition ==
Let <math> \mathbb{S} </math> be the unit sphere in <math>\mathbb R^d : \mathbb{S} = \{u \in \mathbb R^d : |u| = 1\}</math>. A [[random vector]], <math> X </math>, has a multivariate stable distribution - denoted as <math>X \sim S(\alpha, \Lambda, \delta)</math> -, if the joint characteristic function of <math>X</math> is<ref>J. Nolan, Multivariate stable densities and distribution functions: general and elliptical case, BundesBank Conference, Eltville, Germany, 11 November 2005See also http://academic2.american.edu/~jpnolan/stable/stable.html</ref>
 
: <math>\operatorname{E} \exp(u^T X) = \exp \left\{-\int \limits_{s \in \mathbb S}\left\{|u^Ts|^\alpha + i \nu (u^Ts, \alpha) \right\} \, \Lambda(ds) + i u^T\delta\right\}</math>
 
where 0&nbsp;<&nbsp;''&alpha;''&nbsp;<&nbsp;2, and for <math> y\in\mathbb R</math>
:<math>\nu(y,\alpha) =\begin{cases} -\mathbf{sign}(y) \tan(\pi \alpha / 2)|y|^\alpha & \alpha \ne 1, \\
(2/\pi)y \ln |y| & \alpha=1. \end{cases}</math>
 
This is essentially the result of Feldheim,<ref>Feldheim, E. (1937). Etude de la stabilité des lois de probabilité . Ph. D. thesis, Faculté des Sciences de Paris, Paris, France.</ref> that any stable random vector can be characterized by a spectral measure <math>\Lambda</math> (a finite measure on <math>\mathbb S</math>) and a shift vector <math>\delta \in \mathbb R^d</math>.
 
== Parametrization using projections==
Another way to describe a stable random vector is in terms of projections. For any vector <math> u </math>, the projection <math>u^TX</math> is univariate <math>\alpha-</math>stable with some skewness <math>\beta(u)</math>, scale <math>\gamma(u)</math> and some shift <math>\delta(u)</math>. The notation <math>X \sim S(\alpha,\beta(\cdot),\gamma(\cdot),\delta(\cdot))</math> is used if <math>u^TX</math> is stable with
 
<math>u^TX \sim s(\alpha,\beta(\cdot),\gamma(\cdot),\delta(\cdot))</math>
for every <math>u \in R^d</math>. This is called the projection parameterization.
 
The spectral measure determines the projection parameter functions by:
 
: <math>\gamma(u) =
\int_{s \in \mathbb{S}} |u^Ts|^\alpha \Lambda(ds)
</math>
 
: <math>
\beta(u) = \int_{s \in \mathbb{S}}|u^Ts|^\alpha \mathbf{sign}(u^Ts)\Lambda(ds)
</math>
 
: <math>\delta(u)=\begin{cases}u^T \delta & \alpha \ne 1\\u^T \delta -\int_{s \in \mathbb{S}}\tfrac{\pi}{2} u^Ts \ln|u^Ts|\Lambda(ds)&\alpha=1\end{cases}</math>
 
==Special cases==
There are four special cases where the multivariate [[characteristic function (probability theory)|characteristic function]] takes a simpler form.  Define the characteristic function of a stable marginal as
 
: <math>\omega(y|\alpha,\beta) =
\begin{cases}|y|^\alpha\left[1-i \beta(\tan  \tfrac{\pi\alpha}{2})\mathbf{sign}(y)\right]& \alpha \ne 1\\
|y|\left[1+i \beta \tfrac{2}{\pi} \mathbf{sign}(y)\ln |y|\right] & \alpha = 1\end{cases}
</math>
 
===Isotropic multivariate stable distribution===
The characteristic function is
<math>E \exp(i u^T X)=\exp\{-\gamma_0^\alpha+i u^T \delta)\}</math>
The spectral measure is continuous and uniform, leading to radial/isotropic symmetry.<ref>User manual for STABLE 5.1 Matlab version, Robust Analysis Inc., http://www.RobustAnalysis.com</ref>
 
===Elliptically contoured multivariate stable distribution===
Elliptically contoured m.v. stable distribution is a special symmetric case of the multivariate stable distribution.
If X is <math>\alpha</math>-stable and elliptically contoured, then it has joint [[characteristic function (probability theory)|characteristic function]] 
<math>E \exp(i u^T X)=\exp\{-(u^T\Sigma u)^{\alpha/2}+i u^T \delta)\}</math> 
for some positive definite matrix <math>\Sigma</math> and shift vector <math>\delta \in R^d</math>.
Note the relation to characteristic function of the [[multivariate normal distribution]]: <math>E \exp(i u^T X)=\exp\{-(u^T\Sigma u)+i u^T \delta)\}</math>.
In other words, when ''&alpha;''&nbsp;=&nbsp;2 we get the characteristic function of the multivariate normal distribution.
 
===Independent components===
The marginals are independent with <math>X_j \sim S(\alpha, \beta_j, \gamma_j, \delta_j)</math>, then the
characteristic function is
: <math>E \exp(i u^T X) = \exp\left\{-\sum_{j=1}^m \omega(u_j|\alpha,\beta_j)\gamma_j^\alpha +i u^T \delta)\right\}</math>
{|
|-
|[[File:Mv indp.png|Mv indp|220px]]<br/> <small>Heatmap showing a multivariate (bivariate) independent stable distribution with&nbsp;''&alpha;''&nbsp;=&nbsp;1</small> ||
[[File:Mv indp2.png|Mv indp2|220px]]<br/><small>Heatmap showing a multivariate (bivariate) independent stable distribution with&nbsp;''&alpha;''&nbsp;=&nbsp;2</small>.
|}
 
===Discrete===
If the spectral measure is discrete with mass <math>\lambda_j</math> at <math>s_j \in \mathbb{S},j=1,\ldots,m</math>
the characteristic function is
: <math>E \exp(i u^T X)= \exp\left\{-\sum_{j=1}^m \omega(u^Ts_j|\alpha,1)\gamma_j^\alpha +i u^T \delta)\right\}</math>
 
== Linear properties ==
if <math>X \sim S(\alpha, \beta(\cdot), \gamma(\cdot), \delta(\cdot))
</math> is d-dim, and A is a m x d matrix, <math>b \in \mathbb{R}^m</math>
then AX + b is m dim. <math>\alpha</math>-stable with scale function <math>\gamma(A^T\cdot)</math>
, skewness function <math>\beta(A^T\cdot)</math>,
and location function <math>\delta(A^T\cdot) + b^T\cdot</math>
 
== Inference in the independent component model ==
Recently<ref>D. Bickson and C. Guestrin. Inference in linear models  with multivariate heavy-tails. In Neural Information Processing Systems (NIPS) 2010, Vancouver, Canada, Dec. 2010. http://www.cs.cmu.edu/~bickson/stable/</ref> it was shown how to compute inference in closed-form in a linear model (or equivalently a [[factor analysis]] model),involving independent component models.
 
More specifically, let <math>X_i \sim S(\alpha, \beta_{x_i}, \gamma_{x_i}, \delta_{x_i}), i=1,\ldots,n</math> be a set of i.i.d. unobserved univariate drawn from a [[stable distribution]]. Given a known linear relation matrix A of size <math>n \times n</math>, the observation <math>Y_i = \sum_{i=1}^n A_{ij}X_j</math> are assumed to be distributed as a convolution of the hidden factors  <math>X_i</math>. <math>Y_i = S(\alpha, \beta_{y_i}, \gamma_{y_i}\delta_{y_i})</math>. The inference task is to compute the most probable <math>X_i</math>, given the linear relation matrix A and the observations <math>Y_i</math>. This task can be computed in closed-form in&nbsp;O(''n''<sup>3</sup>).
 
An application for this construction is [[multiuser detection]] with stable, non-Gaussian noise.
 
==Resources==
* Mark Veillette's stable distribution matlab package http://www.mathworks.com/matlabcentral/fileexchange/37514
* The plots in this page where plotted using Danny Bickson's inference in linear-stable model Matlab package: http://www.cs.cmu.edu/~bickson/stable
 
==Notes==
{{Reflist}}
 
{{ProbDistributions|multivariate}}
 
{{DEFAULTSORT:Multivariate Stable Distribution}}
[[Category:Multivariate continuous distributions]]
[[Category:Probability distributions with non-finite variance]]
[[Category:Probability distributions]]

Latest revision as of 15:59, 6 February 2014

The certain hammering actions of an influence wrench tends to make life significantly less hard when helping to loosen stubborn crazy and items. Are you organizing to get a cordless effect wrench? Seeking for a cordless influence wrench that is inside your price range would call for that you do a bit of research on-line. Check out every single and each on line shop that sells influence wrenches and evaluate the prices from one retailer to an additional. You get far more torque and a lot much more power Makita 9911 Belt Sander Opinions from a cordless influence wrench than a power drill and the price tag is generally about the same. I'm looking to buy a excellent, dependable cordless impact wrench.

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