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    Orestes Gomez G
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    8 Ansichten17 Seiten

    Deutsch 02

    Hochgeladen von

    Orestes Gomez G
    Deutsch-02

    Copyright:

    © All Rights Reserved
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    Markieren Sie unangemessene Inhalte
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    Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 MIN E 612: Geostatistical Methods for Modelling Earth Sciences Data Lecture 02: Multivariate and Conditional Statistics Outline: © Experimental bivariate statistics Regression curves / conditional expectations © Bayes relation © Covariance and correlation Bivariate moments «© Multivariate normal distribution References: * Fundamentals of Geostatistics in Five Lessons by A. G. Journel ‘© Spatial Statistics by B. D. Ripley © Theory and Problems of Statistics by M. R. Spiegel (Schaum’s Outline Series in Mathematics by McGraw-Hill Book Company) Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Regression curves: Conditional Expectations 4 & ix /yYey}o70) EEK * . s hE bs + C i Nd dé ° a % © E{X|Y = y} = gy) : mean value of X within the class Y = y Nias 14677417 class i 3 4 5 6 7 8 9 W center of class i]2.5 3.5 4.5 5.5 65 7.5 85 9.5 Voiyes = 31 = 5 B{X|Y € class j=5}= Daifys, with fis = as 7 5 __ (25 edotl) + (3.5 adotd) + (4.5 edot6) +...(9.5 cdot) _ eeeEeEeeeEeEOEErT_ © EXY|X = 2} = g(c): mean value of Y within the class X =r 5.66 Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Bivariate Distribution oh ¢ Tworandom variables X,¥ ~» Fxy(z,y) = Prob{X <2 and ¥ < a oie i Joint density function: fry(z, y) = 7hgyles) © Marginal distribution of X: Fx(z) = Prob{X < 2} = Prob{X < z and Y € [-0o, infty]} Fx(=) = Fry(eto0) and fr(e) = [2 fave, widy marginal. distribution of Y: Fy(y) = Prob{Y < y}= Fyv(+00, vy) Marginal moments: my = E{X} = ["° afx(a)de of = E{(X — mp} = [2 m,)fx(e)de ‘© Conditional distribution of X given Y = y < = Fryy(2ly) = Prob {X < 2l¥ = y} = Pb (XS # and Y = a}! Prob {¥ = y} a : Paylety) = See yy (ty) = ED | of ¥ given X = 2: Fyx(ylz) = Prob{Y < y|X =<} i 7 Fyx(yle) = Peterlee gv (yfey = Be) Je(z) fez) * Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Covariance and Correlation XY ~ fey(tsy) © Joint moment of order 2: Cov{X,¥} = E{[X ~ my] [¥ - my]} = E{XY} - m+ ™) gee ae = [2dr [emu my) farlaiaday ft & © Variances \ i) Var{X} = Cov{X,X} |= Cov{Y,Y} * Correlation coefficient (c-~1+i ze) yee CofX¥} ( NOM = Trertxartyy © N+ perfect correlation: |pxy| = 1 implies that X and Y are linearly dependent, ie, X=a+ bY pxy is a measure of linear dependence ‘* Independence implies that pxy = , ie., no correlation but No-correlation does not (in general) imply Independence Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Bivariate Moments « Bivariate moments: 2oxy = E{[X YP} x YW? vernenpawen any = BAX ~ ma] ¥ =m} = 25 (21— me) (w— my) tovordeore pxy = 22 € [1,41] Coreela ion oxoy © Univariate moments: ok =oxx = B{[X ~ m,} = RE (i— mF yore mea E{X}= hE mete ¢ Define the indicator transform of the RV X (and similarly for Y): 1, if Xa Univariate moment: E{I(X;2)} = 1-Prob{X <2}+0-.. = F,(x) marginal cdf of X Bivariate moment: E{I(Xs2)-1(¥y)} = 1-Prob{X <2,¥ < y}40...= Frv(zv) bivariate cdf of X and Y * Knowledge of the bivariate indicator statistics (mean and covari- ance) provides the entire bivariate distribution of X and Y (not only the bivariate moments of X and Y) Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Multivariate Distribution a i | Ww" of NV Random Variables X1,....Xw 1 othe Prob {Xj $23,-+.,Xw Sew} =Fx,ku(F---52N) | 0? OM Fi Xn ( ts i SriyooXw (y= -92N) ar1,...,00N : Marginal disributions (univariate): Fx,(ax) = Prob{X, < wx; and 2; < 00,¥i ¢ k} falar) = fday... fdoer f doer [ fximteltn-2n)dey ~ order (N= 1) integration Marginal disributions (bivariate): Fx,,x,(21, 22) = Prob {Xj < 21,X2 < 29; and a; € [-00, oo], Vi # 1,1 # 2} Frsctalist2) = fdas... f d6.-- f Bxysookw (Ets tN)deN ~» order (N — 2) integration Conditional disributions (univariate) Pry ixivige(telti, Vi # k) = Prob{Xy < a4|Xi = 2i,¥i # b} a Flatt Sint ( Bis =o Phe Ue Betts» Ew)dus Px ooKeea Kase Xw (Eis oy Tk ety +++s tN) Conditional moment: phuret eh eae EAXAIX, Vi # B} = gai, Vi #b) @ is a function - usually non linear - of the (NV ~ 1) conditioning values 2,1 # k Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Spatial Law ‘© Strict Stationarity: invariance by translation of the spatial law Fx (a4) yonX uy tb) (Ets +612) = F(a) X (ay) (2d +-5 tN) Viv ‘* => Stationarity of order 2: invariance by translation of the first ‘two moments { E{X(u+h)} = E{X(u)} =m Vu, Vb Cov{X (u), X(u')} = Cov{X(u +h), X(u' + h)} = C(u - u') Recap: — Multivariate distribution Prob{Z (1) < 21y-+-5Z(te) $ ze} = Pry.Xa(2ts- +528) ~ Spatial law: set of all multivariate distributions Vk, Wz1,...,24 — Bivariate distribution: of Z (21), Z(x: +h) Prob{Z(z1) $ 21, Z(a1 +h) < 2} = Frasn(z,2') bivariate density PPeasn(2,2/) fegwnl 2!) = eset ~ Moment of order 2 E{Z(z)Z(e+h)} = [~ dz f° da'z2! feasn(2,2)d2! covariance Cov{Z(x)Z(2+h)} = E{Z(z)Z(x+h)}—m(z)-m(z+h) = C(x, r+h) statistical inference =» C(h) = E{Z(2)Z(x + h)} — m? Coef. of correlation: p(h) = C(h)/C(0) with C(0) = Var{Z(x)} Geostatistical Methods for Modelling Earth Sciences Data MIN E 612 First Term 1998 Spatial Statistics / Geostatistics ‘* Bivariate distribution of two continuous RV’s X,Y, which could represent: ~ X = o(u), ¥ = K(u): two different attributes at same loca- tion ~ X = ou), ¥ = (uth): same attribute at two different locations - X = o(u), Y = K(u+h): two different attributes at two different locations « Random Function (RF) ~ The set of spatially dependent RV's {¢(u),u € Site} is called a random function ~ The dependence of any two RV’s X = o(u), Y = g(u+h) is characterized by bivariate cdf (Ih-dependent): Fry(z,y) = Prob{X < 2,¥

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