The Multivariate Gaussian Distribution
where we have relied on the explicit formula for the determinant of a 2×2 matrix3, and the fact that the inverse of a diagonal matrix is simply found by taking the reciprocal of each diagonal entry. Continuing, p(x;µ,Σ) = 1 2πσ1σ2 exp − 1 2 x1 −µ1 x2 −µ2 T " 1 σ2 1 (x1 −µ1) 1 σ2 2 (x2 −µ2) #! = 1 2πσ1σ2 exp − 1 2σ2 1 ...
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