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If you multiply two normal distribution PDFs with means $\mu_1$ and $\mu_2$ and variances $v_1$ and $v_2$, then according to this page, the new mean is

$$\mu = \frac{\mu_1 v_2 + \mu_2 v_1}{v_1 + v_2}$$

and the new variance is

$$v = \frac{v_1 v_2}{v_1 + v_2}.$$

However, if I use those expressions directly to combine several distributions sequentially, the floating point errors quickly pile up. Is there an algorithm for doing this stably?

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  • $\begingroup$ Can you give a concrete example when "the floating point errors quick pile up"? $\endgroup$
    – John L.
    Dec 18 '18 at 18:29
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While there is an entire subject that studies how to prevent or reduce floating point errors from piling up, it happens we have a shortcut here.

Let $\mathcal N(u, \sigma)=\frac{1}{\sqrt{2\pi\sigma^2} } e^{ -\frac{(x-\mu)^2}{2\sigma^2} }$ , the normal distribution with mean $u$ and standard derivation $\sigma$. Suppose we are given $n$ Gaussian normal distribution $\mathcal N_i(u_i, \sigma_i)$ . What is the product of $n$ of them? It turns out,

$$\prod_{i=1}^n \mathcal N(\mu_i,\sigma_i)= s\mathcal N (\mu,\sigma)$$ where $$ \frac1{\sigma^{2}} = \sum_{i=1}^n \frac1{\sigma_i^{2}}\,, \quad \frac\mu{\sigma^2} = \sum_{i=1}^n \frac{\mu_i}{\sigma_i^{2}} $$ and $$ s = (2\pi)^{\frac{1-n}2} \frac{\sigma}{\prod_{i=1}^n \sigma_i}\exp\left(\frac12 \left(\frac{\mu^2}{\sigma^2} - \sum_{i=1}^n \frac{\mu_i^2}{\sigma_i^2}\right) \right) $$

If you use the above formula to compute, floating point errors should not be a concern any more.

Please note the reference you used is misleading in the sense the product function is not a probability distribution function.


Exercise. Prove the above formula for the product of $n$ normal distribution.

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