Transcription of Gaussian Distribution - Welcome to CEDAR
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Machine Learning srihari Gaussian Distribution Sargur N. Srihari 1. Machine Learning srihari The Gaussian Distribution Carl Friedrich Gauss For single real-valued variable x 1777-1855. 1 1 2 . N(x | , 2 ) = exp (x ) . (2 ). 2 1/ 2. 2 2. 68% of data lies within of mean 95% within 2 . Parameters: Mean , variance 2, Standard deviation . Precision =1/ 2, E[x]= , Var[x]= 2. For D-dimensional vector x, multivariate Gaussian 1 1 . 1 .. N(x | , ) = exp . (x )T 1. (x ) .. D/2. (2 ) | | 1/2 . 2.. is a mean vector, is a D x D covariance matrix, | | is the determinant of . 2. -1 is also referred to as the precision matrix Machine Learning srihari Covariance Matrix Gives a measure of the dispersion of the data It is a D x D matrix Element in position i,j is the covariance between the ith and jth variables.
• For a multivariate Gaussian distribution N(x| µ,Λ-1) for a D-dimensional variable x – Conjugate prior for mean µ assuming known precision is Gaussian – For known mean and unknown precision matrix Λ, conjugate prior is Wishart distribution – If both mean and precision are unknown conjugate prior is Gaussian-Wishart
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