Solved – Difference between a gaussian vector and a multivariate gaussian distribution

correlationnormal distribution

I always thought a gaussian vector and a multivariate gaussian distribution were more or less the same thing but I've remembered that a gaussian vector have a more complex definition than that.

A gaussian vector is a vector such that every linear combination of its coefficients follows a gaussian distribution.

If the coefficients of a vector follow a multivariate distribution, the vector should be gaussian.

For the converse, each coefficient of a gaussian vector (as a trivial linear combination) should follow a gaussian distribution. The only difference I can see is about an assumption on correlation structure. A gaussian vector does not imply directly a linear correlation structure. But I feel that the condition "EVERY linear combination…" is strong enough so that we can't have the correlation structure we want.

Is the converse true? If so what is the difference between the two?

Best Answer

The two conditions (or definitions if you prefer) are equivalent

A random vector $x = (X_1, \ldots, X_k)'$ is said to have the multivariate normal distribution if it satisfies the following equivalent conditions.

  • Every linear combination of its components $Y = a_1 X_1 + \ldots + a_k X_k$ is normally distributed. That is, for any constant vector $a \in R^k$, the random variable $Y = a′x$ has a univariate normal distribution, where a univariate normal distribution with zero variance is a point mass on its mean.

...

Wikipeida is the source.

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