Chapter 3 Random Vectors and Multivariate Normal …
and the random variables are said to be exchangeable. 3.2 Multivariate Normal Distribution Definition 3.2.1. Multivariate Normal Distribution. A random vector X =(X1,X2,...,X n) T is said to follow a multivariate normal distribution with mean μ and covariance matrix Σ if X canbeexpressedas X= AZ+μ, where Σ= AAT and Z=(Z1,Z2,...,Z n) with Z
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