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Multivariate normal distribution

In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One definition is that a random vector is said to be k-variate normally distributed if every linear combination of…

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Standards, Properties & Statistical inference

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Key facts & relationships

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CF
exp ( i μ T t − 1 2 t T Σ t ) {\displaystyle \exp \!{\Big (}i{\boldsymbol {\mu }}^{\mathrm {T} }\mathbf {t} -{\tfrac {1}{2}}\mathbf {t} ^{\mathrm {T} }{\boldsymbol {\Sigma }}\ma…
Entropy
k 2 log ⁡ ( 2 π e ) + 1 2 log ⁡ det ( Σ ) {\displaystyle {\frac {k}{2}}\log {\mathord {\left(2\pi \mathrm {e} \right)}}+{\frac {1}{2}}\log \det {\mathord {\left({\boldsymbol {\S…
Kullback–Leibler divergence
See § Kullback–Leibler divergence
Mean
μ
MGF
exp ( μ T t + 1 2 t T Σ t ) {\displaystyle \exp \!{\Big (}{\boldsymbol {\mu }}^{\mathrm {T} }\mathbf {t} +{\tfrac {1}{2}}\mathbf {t} ^{\mathrm {T} }{\boldsymbol {\Sigma }}\mathb…
Mode
μ

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Overview

Definitions

Properties

Statistical inference

Computational methods

Advanced semantic analysis

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Map overview Semantic statistics

Number of nodes, edges, triples, density and central hubs. Use it to gauge the size and connectivity of the map.

Multivariate normal distribution

Nodes114
Edges113
Triples86
Avg. degree1.98
Density0.017544
Components1

How this topic connects Entity context

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Multivariate normal distribution

Top relations

related to Drawing values from the distribution · 14
Multivariate normal distribution → AAT, Az, Box, Cholesky, Find, If, LAPACK's, Let, Muller, N-dimensional, This, UΛ1/2, UΛU, When
related to Affine transformation · 11
Multivariate normal distribution → BX, BΣBT, Bμ, If, In, Sigma, To, X1, X2, X4, Xi
related to Multivariate normality tests · 10
Multivariate normal distribution → Cox, Friedman, Jain's, Jerome Friedman, Larry Rafsky, Multivariate, Rafsky, Small, Smith, The
see also · 9
Multivariate normal distribution → Chi, Complex, Euclidean, Gaussian, Hoyt, Mahalanobis, Multivariate, Rayleigh, Rice
related to Equivalent definitions · 6
Multivariate normal distribution → Big, Every, Sigma, That, The, There
related to Geometric interpretation · 6
Multivariate normal distribution → Hence, If, Sigma, The, UΛ1/2, UΛUT
related to Bayesian inference · 3
Multivariate normal distribution → In Bayesian, Suppose, Wishart
related to Marginal distributions · 3
Multivariate normal distribution → Example, The, To
related to Mutual information · 3
Multivariate normal distribution → Kullback, Leibler, The
is a · 2
Multivariate normal distribution → example of the class of elliptical distributions, special case of the Kullback

Important terminology Word statistics

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Important terminology

displaystyle distribution normal multivariate boldsymbol matrix sigma vector mathbf covariance random mu case mean density function variables independent two probability

Entity relationships Subject–Predicate–Object triples

Extracted RDF-like relationships with confidence and source. The table includes structured facts and lower-confidence contextual relations.
SubjectPredicateObjectConfidenceSrc
Multivariate normal distributionCFexp ( i μ T t − 1 2 t T Σ t ) {\displaystyle \exp \!{\Big (}i{\boldsymbol {\mu }}^{\mathrm {T} }\mathbf {t} -{\tfrac {1}{2}}\mathbf {t} ^{\mathrm {T} }{\boldsymbol {\Sigma }}\ma…1.00infobox
Multivariate normal distributionEntropyk 2 log ⁡ ( 2 π e ) + 1 2 log ⁡ det ( Σ ) {\displaystyle {\frac {k}{2}}\log {\mathord {\left(2\pi \mathrm {e} \right)}}+{\frac {1}{2}}\log \det {\mathord {\left({\boldsymbol {\S…1.00infobox
Multivariate normal distributionKullback–Leibler divergenceSee § Kullback–Leibler divergence1.00infobox
Multivariate normal distributionMeanμ1.00infobox
Multivariate normal distributionMGFexp ( μ T t + 1 2 t T Σ t ) {\displaystyle \exp \!{\Big (}{\boldsymbol {\mu }}^{\mathrm {T} }\mathbf {t} +{\tfrac {1}{2}}\mathbf {t} ^{\mathrm {T} }{\boldsymbol {\Sigma }}\mathb…1.00infobox
Multivariate normal distributionModeμ1.00infobox
Multivariate normal distributionNotationN ( μ , Σ ) {\displaystyle {\mathcal {N}}({\boldsymbol {\mu }},\,{\boldsymbol {\Sigma }})}1.00infobox
Multivariate normal distributionParametersμ ∈ Rk — location Σ ∈ Rk × k — covariance (positive semi-definite matrix)1.00infobox
Multivariate normal distributionPDF( 2 π ) − k / 2 det ( Σ ) − 1 / 2 exp ⁡ ( − 1 2 ( x − μ ) T Σ − 1 ( x − μ ) ) , {\displaystyle (2\pi )^{-k/2}\det({\boldsymbol {\Sigma }})^{-1/2}\,\exp \left(-{\frac {1}{2}}(\ma…1.00infobox
Multivariate normal distributionSupportx ∈ μ + span(Σ) ⊆ Rk1.00infobox
Multivariate normal distributionVarianceΣ, the matrix of individual variances and covariances1.00infobox
Multivariate normal distributionis aspecial case of the Kullback0.90text
Multivariate normal distributionis aexample of the class of elliptical distributions0.90text

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