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Suppose we have a vector of numbers, and say we
also have a null distribution for this vector (say, we pick a
vector of numbers from a multivariate gaussian density); what would be
the best way to estimate the deviation of the vector of numbers from the
null multivariate gaussian distribution? (let's also say that we didn't know
that the null was multvariate gaussian, that is, we only had an empirical
multivariate distribution of vectors that we did not know a priori conform
to any particular distribution, then what is the best way?)
thanks,
p
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