Scatter matrix

In multivariate statistics and probability theory, the scatter matrix is a statistic that is used to make estimates of the covariance matrix, for instance of the multivariate normal distribution.

For the notion in quantum mechanics, see scattering matrix.

Definition

Given n samples of m-dimensional data, represented as the m-by-n matrix, , the sample mean is

where is the j-th column of .[1]

The scatter matrix is the m-by-m positive semi-definite matrix

where denotes matrix transpose,[2] and multiplication is with regards to the outer product. The scatter matrix may be expressed more succinctly as

where is the n-by-n centering matrix.

Application

The maximum likelihood estimate, given n samples, for the covariance matrix of a multivariate normal distribution can be expressed as the normalized scatter matrix

[3]

When the columns of are independently sampled from a multivariate normal distribution, then has a Wishart distribution.

See also

References

  1. Raghavan (2018-08-16). "Scatter matrix , Covariance and Correlation Explained". Medium. Retrieved 2022-12-28.
  2. Raghavan (2018-08-16). "Scatter matrix , Covariance and Correlation Explained". Medium. Retrieved 2022-12-28.
  3. Liu, Zhedong (April 2019). Robust Estimation of Scatter Matrix, Random Matrix Theory and an Application to Spectrum Sensing (PDF) (Master of Science). King Abdullah University of Science and Technology.


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