Bayesian Network Representation of Joint Normal Distributions - Cascading Regressions Model

Abstract

This article is the first of a series discussing the Bayesian Network representation of multivariate normal distributions. A joint normal distribution being fully specified by its mean vector and its covariance matrix is not simple to interact with as its Bayesian network equivalent. Representing a joint normal distribution as a Bayesian network enables visualizing and interacting with the distribution through the lens of probabilistic graphical models with TKRISK®. We demonstrate in this article a simple yet powerful approach using a cascading regressions approach.

Keywords: Bayesian network, multivariate distribution, covariance

JEL Classification: C00, G13