Transcription of Chapter 13 The Multivariate Gaussian - People
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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.
2 CHAPTER 13. THE MULTIVARIATE GAUSSIAN The factor in front of the exponential in Eq. 13.1 is the normalization factor that ensures that the density integrates to one.
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