CFD Online Logo CFD Online URL
www.cfd-online.com
[Sponsors]
Home > Wiki > Introduction to turbulence/Statistical analysis/Multivariate r...

Introduction to turbulence/Statistical analysis/Multivariate random variables

From CFD-Wiki

(Difference between revisions)
Jump to: navigation, search
(Joint pdfs and joint moments)
Line 2: Line 2:
Often it is importamt to consider more than one random variable at a time. For example, in turbulence the three components of the velocity vector are interralated and must be considered together. In addition to the ''marginal'' (or single variable) statistical moments already considered, it is necessary to consider the '''joint''' statistical moments.
Often it is importamt to consider more than one random variable at a time. For example, in turbulence the three components of the velocity vector are interralated and must be considered together. In addition to the ''marginal'' (or single variable) statistical moments already considered, it is necessary to consider the '''joint''' statistical moments.
 +
 +
For example if <math>u</math> and <math>v</math> are two random variables, there are three second-order moments which can be defined <math>\left\langle u^{2} \right\rangle </math> , <math>\left\langle v^{2} \right\rangle </math> , and <math>\left\langle uv \right\rangle </math>. The product moment <math>\left\langle uv \right\rangle </math> is called the ''cross-correlation'' or  ''cross-covariance''. The moments
=== The bi-variate normal (or Gaussian) distribution ===
=== The bi-variate normal (or Gaussian) distribution ===
dssd
dssd

Revision as of 18:21, 1 June 2006

Joint pdfs and joint moments

Often it is importamt to consider more than one random variable at a time. For example, in turbulence the three components of the velocity vector are interralated and must be considered together. In addition to the marginal (or single variable) statistical moments already considered, it is necessary to consider the joint statistical moments.

For example if u and v are two random variables, there are three second-order moments which can be defined \left\langle u^{2} \right\rangle , \left\langle v^{2} \right\rangle , and \left\langle uv \right\rangle . The product moment \left\langle uv \right\rangle is called the cross-correlation or cross-covariance. The moments

The bi-variate normal (or Gaussian) distribution

dssd

My wiki