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Chapter 13 The Multivariate Gaussian

Chapter 13 The Multivariate Gaussian

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As in the univariate case, the parameters µ and Σ have a probabilistic interpretation as the moments of the Gaussian distribution. In particular, we have the important result: µ = E(x) (13.2) T. (13.3) We will not bother to derive this standard result, but will provide a hint: diagonalize and appeal to the univariate case.

  Distribution, Multivariate, Univariate, Gaussian, Gaussian distribution, Multivariate gaussian

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