Parameter estimation of multivariate normal distribution in Bayesian framework

Zihao Ye

Article ID: 9718
Vol 7, Issue 9, 2024

VIEWS - 5 (Abstract) 2 (PDF)

Abstract


This paper discusses the parameter estimation of the multivariate normal distribution using Bayesian statistical methods. Traditionally, frequency statistical methods are used to estimate the parameters of the multivariate normal distribution, but this method may face
sampling limitations and model complexity. In contrast, the Bayesian method can more effectively explain the uncertainty of parameter
estimation by introducing prior information and subsequent reasoning, and show better robustness to data limitations or model complexity.
Through literature review and empirical analysis, this paper demonstrates the benefits and potential of using Bayesian methods to estimate
the parameters of the multivariate normal distribution, and proposes new ideas for parameter estimation of the multivariate normal distribution in various fields, such as providing new ideas and methods for portfolio management.

Keywords


Multivariate Normal Distribution; Frequency Statistical Methods; Bayesian Statistical Methods

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DOI: https://doi.org/10.18686/ijmss.v7i9.9718

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