Transcription of Chapter 13 The Multivariate Gaussian - People
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Chapter 13 The Multivariate Gaussian - People
Chapter 13 The Multivariate GaussianIn this Chapter we present some basic facts regarding the Multivariate Gaussian discuss the two major parameterizations of the Multivariate Gaussian themomentparameterizationand thecanonical parameterization, and we show how the basic operationsof marginalization and conditioning are carried out in thesetwo parameterizations. We alsodiscuss maximum likelihood estimation for the Multivariate ParameterizationsThe Multivariate Gaussian distribution is commonly expressed interms of the parameters and , where is ann 1 vector and is ann n, symmetric matrix. (We will assumefor now that is also positive definite, but later on we will haveoccasion to relax thatconstraint).
Chapter 13 The Multivariate Gaussian ... Σ11 Σ12 Σ21 Σ22 , (13.9) We ... the marginal and conditional probabilities of x1 and x2? These questions all involve the manipulation of the quadratic forms in the exponents of the Gaussian densities; indeed, the underlying algebraic problem is that of “completing ...
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