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Machine Learning, 2nd Edition
book

Machine Learning, 2nd Edition

by Steven W. Knox
March 2026
Intermediate
432 pages
21h 5m
English
Wiley
Content preview from Machine Learning, 2nd Edition

Appendix CConverting Between Normal Parameters and Level-Curve Ellipsoids

Let upper Z be an m-dimensional normal random variable with mean mu and covariance matrix normal upper Sigma. The density function for upper Z is

phi left parenthesis z right parenthesis equals left parenthesis 2 pi right parenthesis Superscript minus StartFraction m Over 2 EndFraction Baseline StartAbsoluteValue normal upper Sigma EndAbsoluteValue Superscript negative one half Baseline e Superscript minus one half left parenthesis z minus mu right parenthesis Super Superscript intercalate Superscript normal upper Sigma Super Superscript negative 1 Superscript left parenthesis z minus mu right parenthesis Baseline comma

so the level curves of the density can be written as

StartSet z colon phi left parenthesis z right parenthesis equals c EndSet equals StartSet z colon left parenthesis z minus mu right parenthesis Superscript intercalate Baseline normal upper Sigma Superscript negative 1 Baseline left parenthesis z minus mu right parenthesis equals minus 2 log left parenthesis c left parenthesis 2 pi right parenthesis Superscript StartFraction m Over 2 EndFraction Baseline StartAbsoluteValue normal upper Sigma EndAbsoluteValue Superscript one half Baseline right parenthesis EndSet comma

so level curves of phi left parenthesis z right parenthesis are level curves of left parenthesis z minus mu right parenthesis Superscript intercalate Baseline normal upper Sigma Superscript negative 1 Baseline left parenthesis z minus mu right parenthesis.

By a well-known theorem,1 the random variable left parenthesis upper Z minus mu right parenthesis Superscript intercalate Baseline normal upper Sigma Superscript negative 1 Baseline left parenthesis upper Z minus mu right parenthesis is distributed chi Subscript m Superscript 2. Thus the ellipsoid centered at , bounded by a level ...

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Publisher Resources

ISBN: 9781394325252