# Plotting Random Normal Data With Non-Diagonal Covariance In a prior example I demonstrated plotting bivariate normal data under the assumption of an identity covariance matrix. D3 allows simple generation of samples from a normal distribution using d3.random.normal(mean, std). We can use this function to easily generate multivariate gaussian data with a diagonal covariance matrix. However, we may occasionally want non-diagonal covariance. To achieve this we can [generate samples from a standard normal and transform them](http://en.wikipedia.org/wiki/Multivariate_normal_distribution#Affine_transformation). ### Affine Transformation Following the notation from wikipedia if we have samples x, from a normal distribution $x \sim \mathcal{N}(\mu,\Sigma)$ and we apply an affine transformation $y = c + Bx$ then the resulting values $y$ will be distributed: $$y \sim \mathcal{N}(c + B\mu, B \Sigma B^{\rm T})$$ If we generate samples from the standard normal $x \sim \mathcal{N}(0,1)$ then apply a transformation $y = c + Bx$ we will be left with samples distributed according to: $$y \sim \mathcal{N}(c, B B^{\rm T})$$ Thus, we have a means to generate samples from any particular multivariate normal distribution with mean, $\hat{\mu}$, and covariance $\hat{\Sigma}$. ### Cholesky Decomposition One immediate problem is that the transformation doesn't involve multiplication by $\hat{\Sigma}$ directly. Instead we need to calculate by $B$ where: $$B B^{\rm T} = \Sigma$$ In general, we would solve this problem using [*Cholesky decomposition*](http://en.wikipedia.org/wiki/Cholesky_decomposition) which is just a fancy way of finding a particular square root decomposition of a matrix. While I'm sure there is a handy math library out there we could load to do this efficiently, since I will only be working with 2x2 matrices here I will instead borrow the same line of thinking exhibited in [this blog post](http://metamerist.blogspot.com/2008/03/googlaziness-cholesky-2x2.html). To summarize, we can set up the equation as follows: $$B B^{\rm T} = \Sigma$$ $$\begin{bmatrix} a & 0 \\\\ b & c \end{bmatrix} \begin{bmatrix} a & b \\\\ 0 & c \end{bmatrix} = \begin{bmatrix} a^2 & ab \\\\ ab & (b^2 + c^2) \end{bmatrix}$$ ## Demo In the following example, I will generate random samples from a distribution $\mathcal{N}(\mu,\Sigma)$ with: $$\mu = \begin{bmatrix} 0, 0 \end{bmatrix}$$ $$\Sigma = \begin{bmatrix} 3 & -2 \\\\ -2 & 2 \end{bmatrix}$$. <div id="d3Code"></div> ## D3 Code var w = 500; var h = 500; var numPoints = 1000; // Define parameters for gaussian var mu = [0, 0]; var sig = [[3, -2], [-2, 2]]; //Create SVG element var svg = d3.select("div#d3Code").append("svg") .attr("style", "outline: thin solid black;") .attr("width", w) .attr("height", h); //Define plot scale var xScale = d3.scale.linear() .domain([-10, 10]) .range([0, w]); var yScale = d3.scale.linear() .domain([10, -10]) .range([0, h]); //Perform cholesky decomposition var sqrtSig = chol2d(sig); //Generate random data var dataset = d3.range(numPoints).map(function() { return sampleBivariateNormal(mu, sqrtSig); }); //Draw data on svg element svg.selectAll("circle") .data(dataset) .enter() .append("circle") .attr("cx", function(d) { return xScale(d[0]); }) .attr("cy", function(d) { return yScale(d[1]); }) .attr("r", 2.5); //2-D Cholesky decomposition of sigma function chol2d(sig){ var a,b,c; a = Math.sqrt(sig[0][0]); b = sig[0][1]/a; c = Math.sqrt(sig[1][1]-b*b); return [ [a, 0], [b, c] ]; } //Transfrom 2-D standard normal data function sampleBivariateNormal(mu, sqrtSig){ var stdNorm = d3.random.normal(0, 1); var x = [stdNorm(), stdNorm()]; var y = [0, 0]; y[0] = mu[0] + sqrtSig[0][0]*x[0] + sqrtSig[0][1]*x[1]; y[1] = mu[1] + sqrtSig[1][0]*x[0] + sqrtSig[1][1]*x[1]; return [y[0], y[1]]; } --- <div class="container"> <div class="row"> <span class="pull-left"> <a class="btn btn-primary" href="http://Ryan-J-Smith.github.io/D3-Examples">Back to Examples</a></span> <span class="pull-right">By [Ryan J. Smith](http://www.ryanjsmith.me), 2015</span> </div> </div>