Multivariate Normal Distributions – I – Basics and a random vector of independent Gaussians
This post series is about mathematical aspects of so called “Multivariate Normal Distributions“. In respective literature two abbreviations are common: MNDs or MVNs. I will use both synonymously. To get an easy access, I want to introduce a MND as the result of a linear transformations applied to random vectors whose components can be described by independent 1-dimensional normal distributions.… Read More »Multivariate Normal Distributions – I – Basics and a random vector of independent Gaussians