Chapter 4 The Multivariate Normal Distribution

Chapter 4 The Multivariate Normal Distribution. 4.1 Definition. Intuition: Let . Then, the density function is . Definition (Multivariate Normal Random Variable): A random vector . with has the density function. Moment Generating Function of Multivariate Normal Random Variable: Let . Then, the moment generating function for . X . is . Result: If ................
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