Gaussian Random Vectors - Math
Gaussian Random Vectors 1. The multivariate normal distribution Let X:= (X1 X) be a random vector. We say that X is a Gaussian random vector if we can write X = µ +AZ where µ ∈ R, A is an × matrix and Z:= (Z1 Z) is a -vector of i.i.d. standard normal random variables. Proposition 1.
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