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The Multivariate Gaussian Distribution

The Multivariate Gaussian Distribution

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diagonal covariance matrix Σ = diag(σ2 1,σ 2 2,...,σ 2 n) is the same as a collection of n indepen-dent Gaussian random variables with mean µi and variance σ2 i, respectively. 4 Isocontours Another way to understand a multivariate Gaussian conceptually is …

  Matrix, Gaussian, Diagonal

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