The Multivariate Gaussian Probability Distribution

Peter Ahrendt

AbstractThis technical report intends to gather information about the multivariate gaussian distribution, that was previously not (at least to my knowledge) to be found in one place and written as a reference manual. Additionally, some useful tips and tricks are collected that may be useful in practical calculations with the gaussian.
Keywordsgaussian, probability distribution, moments, gaussian integrals
TypeTechnical report
Year2005    Month January
Electronic version(s)[pdf]
BibTeX data [bibtex]
IMM Group(s)Intelligent Signal Processing