December 2017
Intermediate to advanced
386 pages
10h 42m
English
A multivariate Gaussian distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. A random vector is said to be k-variate normally distributed if every linear combination of its k components has a univariate normal distribution.
Before looking at the multivariate Gaussian distribution, let's consider the univariate distribution.
A univariate distribution is generated with the following formula:
In the preceding formula, the following applies:
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