Joint-Seminar

Title:  Uniform Correlation Mixture of Multivariate Normal Distributions

Speaker:  Prof. Zhang Kai, Department of Statistics, University of North Carolina

Location:  520 Pao Yue-Kong Library

Time: 15:30-16:30, Wed, June 11, 2014

Abstract:

We report an interesting integral that connects the uniform mixture of bivari- ate normal densities to Khintchine's theorem on mixing random variables through multiplication. This integral also has an Bayesian interpretation that if we have a uniform prior over the correlation ; the resulting marginal density depends only on the maximal magnitude of the two variables. We report our study about this distribution and its generalizations in higher dimensions, as well as its applications.