MATH 423 Lecture Notes - Lecture 20: Multivariate Random Variable, Random Matrix, Institution Of Engineering And Technology
19 Nov 2018
School
Department
Course
Professor
Document Summary
R and b ane non linear scalars a. E ta t b w a ieee t b iet then. Every coordinate of with each other to variates is the pxp matrix which stores these values. The variance random vector has some a covariance matrix z covariance. This inherits properties of ordinary variances and covariance as varied. We have and for a random vector a and a non. A random vector z has a multivariate normal distribution with ndom. U a male a on dis its density is exp c e z mittu. We wrote this as fl n n e or. A a square matrix then the trace of a denote by is defined to be the sum of the diagonal elements i e. Cena tr a tr ca t and we have the cyclic property tr abc v random matrix. If e is a quadratic form we have then zte is called a.
