Q2.9 Assume a random vector x 2 Rn follows a multivariate Gaussian distribution (i.e., px = N
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Q2.9 Assume a random vector x 2 Rn follows a multivariate Gaussian distribution (i.e., p¹xº = N
????
x
,
).
If we apply an invertible linear transformation to convert x into another random vector as y = Ax + b
(A 2 Rnn and b 2 Rn), prove that the joint distribution p¹yº is also a multivariate Gaussian distribution, and compute its mean vector and covariance matrix.
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Related Book For
Machine Learning Fundamentals A Concise Introduction
ISBN: 9781108940023
1st Edition
Authors: Hui Jiang
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