Multivariate Gaussian Distribution

This section talks about the multivariate Gaussian distribution, which is a generalization of the univariate Gaussian distribution. The multivariate Gaussian distribution is a continuous probability distribution that is defined over a vector of random variables.

Further Readings

• Bishop, Christopher M. “Chapter 2.3. The Gaussian Distribution.” In Pattern Recognition and Machine Learning. New York: Springer-Verlag, 2016

• https://online.stat.psu.edu/stat505/lesson/4

• https://leimao.github.io/blog/Multivariate-Gaussian-Covariance-Matrix/

• Multivariate Gaussian Geometry