Search results with tag "Co variance"

More on Multivariate Gaussians - Stanford University

From this, we can conclude that the covariance matrix of y +z is simply Σ+Σ′. At this point, take a step back and think about what we have just done. Using some simple properties of expectations and independence, we have computed the mean and co-variance matrix of y +z. Because of Fact #1, we can thus write down the density for y +z

  Variance, Independence, Covariance, Co variance