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Draw ellipse for multivariate data
Posted:
Dec 12, 2012 4:05 PM


i want to draw ellipse for multivariate data. here is my wish; i have some random numbers x which is
mu=zeros(1,p) % p is dimension var=eye(p) % p is dimension x=mvnrnd(mu,var,n)
and i estimate the location and shape parameter of this data with MCD method. method is not important for you because i don't have any problem. And then
i want draw an ellipsoid with center estimated location parameter and its' border is chisqure with p degrees of freedom and alfa=0.05. in theory inequality is;
1) (xmu)'*inv(var)*(xmu)<= chi2inv(p,alfa) x element of R1 2) chi2inv(p,alfa)<(xmu)'*inv(var)*(xmu)<= chi2inv(p,sigma) x element of R2 3) (xmu)'*inv(var)*(xmu)> chi2inv(p,sigma) x element of R3
and i want to draw R1,R2 and R3 ellipses. These are three nested ellipses.
How can i do this?



