(1) Multivariate Gaussian
We already discuss Gaussian distribution function with one variable (univariate) here. In this post, we will discuss about Gaussian distribution function with multi variables (multivariate), which is the general form of Gaussian distribution. For dimentional vector , multivariate Gaussian distribution is defined as follows.
where is a dimensional mean vector, is covariance matrix, and is the determinant of matrix . Continue reading “Understanding Multivariate Gaussian, Gaussian Properties and Gaussian Mixture Model”