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Multivariate Gaussian Distribution
In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One definition is that a random vector is said to be ''k''-variate normally distributed if every linear combination of its ''k'' components has a univariate normal distribution. Its importance derives mainly from the Central limit theorem#Multidimensional CLT, multivariate central limit theorem. The multivariate normal distribution is often used to describe, at least approximately, any set of (possibly) Correlation (statistics), correlated real-valued random variables, each of which clusters around a mean value. Definitions Notation and parametrization The multivariate normal distribution of a ''k''-dimensional random vector \mathbf = (X_1,\ldots,X_k)^ can be written in the following notation: : \mathbf\ \sim\ \mathcal(\boldsymbol\mu,\, ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Location Parameter
In statistics, a location parameter of a probability distribution is a scalar- or vector-valued parameter x_0, which determines the "location" or shift of the distribution. In the literature of location parameter estimation, the probability distributions with such parameter are found to be formally defined in one of the following equivalent ways: * either as having a probability density function or probability mass function f(x - x_0); or * having a cumulative distribution function F(x - x_0); or * being defined as resulting from the random variable transformation x_0 + X, where X is a random variable with a certain, possibly unknown, distribution. See also . A direct example of a location parameter is the parameter \mu of the normal distribution. To see this, note that the probability density function f(x , \mu, \sigma) of a normal distribution \mathcal(\mu,\sigma^2) can have the parameter \mu factored out and be written as: : g(x' = x - \mu , \sigma) = \frac \exp\left(-\f ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Degeneracy (mathematics)
In mathematics, a degenerate case is a limiting case of a class of objects which appears to be qualitatively different from (and usually simpler than) the rest of the class; "degeneracy" is the condition of being a degenerate case. The definitions of many classes of composite or structured objects often implicitly include inequalities. For example, the angles and the side lengths of a triangle are supposed to be positive. The limiting cases, where one or several of these inequalities become equalities, are degeneracies. In the case of triangles, one has a ''degenerate triangle'' if at least one side length or angle is zero. Equivalently, it becomes a "line segment". Often, the degenerate cases are the exceptional cases where changes to the usual dimension or the cardinality of the object (or of some part of it) occur. For example, a triangle is an object of dimension two, and a degenerate triangle is contained in a line, which makes its dimension one. This is similar to the cas ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ellipse
In mathematics, an ellipse is a plane curve surrounding two focus (geometry), focal points, such that for all points on the curve, the sum of the two distances to the focal points is a constant. It generalizes a circle, which is the special type of ellipse in which the two focal points are the same. The elongation of an ellipse is measured by its eccentricity (mathematics), eccentricity e, a number ranging from e = 0 (the Limiting case (mathematics), limiting case of a circle) to e = 1 (the limiting case of infinite elongation, no longer an ellipse but a parabola). An ellipse has a simple algebraic solution for its area, but for Perimeter of an ellipse, its perimeter (also known as circumference), Integral, integration is required to obtain an exact solution. The largest and smallest diameters of an ellipse, also known as its width and height, are typically denoted and . An ellipse has four extreme points: two ''Vertex (geometry), vertices'' at the endpoints of the major axis ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Locus (mathematics)
In geometry, a locus (plural: ''loci'') (Latin word for "place", "location") is a set (mathematics), set of all Point (geometry), points (commonly, a line (geometry), line, a line segment, a curve (mathematics), curve or a Surface (topology), surface), whose location satisfies or is determined by one or more specified conditions.. The set of the points that satisfy some property is often called the ''locus of a point'' satisfying this property. The use of the singular in this formulation is a witness that, until the end of the 19th century, mathematicians did not consider infinite sets. Instead of viewing lines and curves as sets of points, they viewed them as places where a point may be ''located'' or may move. History and philosophy Until the beginning of the 20th century, a geometrical shape (for example a curve) was not considered as an infinite set of points; rather, it was considered as an entity on which a point may be located or on which it moves. Thus a circle (mathemat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Complex Normal Distribution
In probability theory, the family of complex normal distributions, denoted \mathcal or \mathcal_, characterizes complex random variables whose real and imaginary parts are jointly normal. The complex normal family has three parameters: ''location'' parameter ''μ'', ''covariance'' matrix \Gamma, and the ''relation'' matrix C. The standard complex normal is the univariate distribution with \mu = 0, \Gamma=1, and C=0. An important subclass of complex normal family is called the circularly-symmetric (central) complex normal and corresponds to the case of zero relation matrix and zero mean: \mu = 0 and C=0 . This case is used extensively in signal processing, where it is sometimes referred to as just complex normal in the literature. Definitions Complex standard normal random variable The standard complex normal random variable or standard complex Gaussian random variable is a complex random variable Z whose real and imaginary parts are independent normally distributed random v ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Generalized Variance
The generalized variance is a scalar value which generalizes variance for multivariate random variables. It was introduced by Samuel S. Wilks. The generalized variance is defined as the determinant of the covariance matrix, \det(\Sigma). It can be shown to be related to the multidimensional scatter of points around their mean. Minimizing the generalized variance gives the Kalman filter In statistics and control theory, Kalman filtering (also known as linear quadratic estimation) is an algorithm that uses a series of measurements observed over time, including statistical noise and other inaccuracies, to produce estimates of unk ... gain.Proof that the Kalman gain minimizes the generalized variance, Eviatar Bach https://arxiv.org/abs/2103.07275 References {{statistics-stub Covariance and correlation ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Determinant
In mathematics, the determinant is a Scalar (mathematics), scalar-valued function (mathematics), function of the entries of a square matrix. The determinant of a matrix is commonly denoted , , or . Its value characterizes some properties of the matrix and the linear map represented, on a given basis (linear algebra), basis, by the matrix. In particular, the determinant is nonzero if and only if the matrix is invertible matrix, invertible and the corresponding linear map is an linear isomorphism, isomorphism. However, if the determinant is zero, the matrix is referred to as singular, meaning it does not have an inverse. The determinant is completely determined by the two following properties: the determinant of a product of matrices is the product of their determinants, and the determinant of a triangular matrix is the product of its diagonal entries. The determinant of a matrix is :\begin a & b\\c & d \end=ad-bc, and the determinant of a matrix is : \begin a & b & c \\ d & e ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Probability Density Function
In probability theory, a probability density function (PDF), density function, or density of an absolutely continuous random variable, is a Function (mathematics), function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) can be interpreted as providing a ''relative likelihood'' that the value of the random variable would be equal to that sample. Probability density is the probability per unit length, in other words, while the ''absolute likelihood'' for a continuous random variable to take on any particular value is 0 (since there is an infinite set of possible values to begin with), the value of the PDF at two different samples can be used to infer, in any particular draw of the random variable, how much more likely it is that the random variable would be close to one sample compared to the other sample. More precisely, the PDF is used to specify the probability of the random variable falling ''within ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Multivariate Gaussian
In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional (univariate) normal distribution to higher dimensions. One definition is that a random vector is said to be ''k''-variate normally distributed if every linear combination of its ''k'' components has a univariate normal distribution. Its importance derives mainly from the multivariate central limit theorem. The multivariate normal distribution is often used to describe, at least approximately, any set of (possibly) correlated real-valued random variables, each of which clusters around a mean value. Definitions Notation and parametrization The multivariate normal distribution of a ''k''-dimensional random vector \mathbf = (X_1,\ldots,X_k)^ can be written in the following notation: : \mathbf\ \sim\ \mathcal(\boldsymbol\mu,\, \boldsymbol\Sigma), or to make it explicitly known that \mathbf i ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Characteristic Function (probability Theory)
In probability theory and statistics, the characteristic function of any real-valued random variable completely defines its probability distribution. If a random variable admits a probability density function, then the characteristic function is the Fourier transform (with sign reversal) of the probability density function. Thus it provides an alternative route to analytical results compared with working directly with probability density functions or cumulative distribution functions. There are particularly simple results for the characteristic functions of distributions defined by the weighted sums of random variables. In addition to univariate distributions, characteristic functions can be defined for vector- or matrix-valued random variables, and can also be extended to more generic cases. The characteristic function always exists when treated as a function of a real-valued argument, unlike the moment-generating function. There are relations between the behavior of the charact ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Positive-definite Matrix
In mathematics, a symmetric matrix M with real entries is positive-definite if the real number \mathbf^\mathsf M \mathbf is positive for every nonzero real column vector \mathbf, where \mathbf^\mathsf is the row vector transpose of \mathbf. More generally, a Hermitian matrix (that is, a complex matrix equal to its conjugate transpose) is positive-definite if the real number \mathbf^* M \mathbf is positive for every nonzero complex column vector \mathbf, where \mathbf^* denotes the conjugate transpose of \mathbf. Positive semi-definite matrices are defined similarly, except that the scalars \mathbf^\mathsf M \mathbf and \mathbf^* M \mathbf are required to be positive ''or zero'' (that is, nonnegative). Negative-definite and negative semi-definite matrices are defined analogously. A matrix that is not positive semi-definite and not negative semi-definite is sometimes called ''indefinite''. Some authors use more general definitions of definiteness, permitting the matrices to be ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ordinary Least Squares
In statistics, ordinary least squares (OLS) is a type of linear least squares method for choosing the unknown parameters in a linear regression In statistics, linear regression is a statistical model, model that estimates the relationship between a Scalar (mathematics), scalar response (dependent variable) and one or more explanatory variables (regressor or independent variable). A mode ... model (with fixed level-one effects of a linear function of a set of explanatory variables) by the principle of least squares: minimizing the sum of the squares of the differences between the observed dependent variable (values of the variable being observed) in the input dataset and the output of the (linear) function of the independent variable. Some sources consider OLS to be linear regression. Geometrically, this is seen as the sum of the squared distances, parallel to the axis of the dependent variable, between each data point in the set and the corresponding point on the regression ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
