Covariance and precision matrix in multivariate normal

deejayosamu·2026년 1월 26일

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Let XNn(μ,Σ)X \sim N_n(\mu, \Sigma) and Ω=Σ1\Omega=\Sigma^{-1} be a precision matrix
Off-diagonal entry of
Σ\Sigma indicates the marginal dependence between the variables
Ω\Omega indicates the conditional independence between the variables
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pf

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