March 2026
Intermediate
432 pages
21h 5m
English
Let
be an
-dimensional normal random variable with mean
and covariance matrix
. The density function for
is

so the level curves of the density can be written as

so level curves of
are level curves of
.
By a well-known theorem,1 the random variable
is distributed
. Thus the ellipsoid centered at , bounded by a level ...
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