For a multivariate normal distribution, the sparsity of the covariance and precision matrices encodes complete information about independence and conditional independence properties. For general distributions, the covariance and precision matrices reveal correlations and so-called partial correlations between variables, but these do not, in general, have any correspondence with respect to independence properties. In this paper, we prove that, for a certain class of non-Gaussian distributions, these correspondences still hold, exactly for the covariance and approximately for the precision. The distributions -- sometimes referred to as "nonparanormal" -- are given by diagonal transformations of multivariate normal random variables. We provide several analytic and numerical examples illustrating these results.
翻译:对于多变正常分布, 共变和精密矩阵的宽度将关于独立和有条件独立属性的完整信息编码成。 对于一般分布, 共变和精确矩阵显示变量之间的相互关系和所谓的部分关联性, 但总的来说, 这些变量在独立属性方面没有任何对应关系。 在本文中, 我们证明, 对于某类非高加索分布而言, 这些通信仍然有效, 完全适合共变, 大致也符合精确性 。 分布( 有时被称为“ 非异常性 ” ) 是通过多变量普通随机变量的对角转换提供的。 我们提供了几个分析和数字例子来说明这些结果 。