The Multivariate Gaussian Distribution
The following proposition (whose proof is provided in the Appendix A.1) gives an alter-native way to characterize the covariance matrix of a random vector X: Proposition 1. For any random vector X with mean µ and covariance matrix Σ, T] = E[XXT]−µµT. (1) In the definition of multivariate Gaussians, we required that the covariance matrix ...
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