multivariate Gaussian distribution

(1.6 hours to learn)


The multivariate Gaussian distribution is a generalization of the Gaussian distribution to higher dimensions. The parameters of an n-dimension multivariate Gaussian distribution are an n-dimensional mean vector and an n-by-n dimensional covariance matrix.


This concept has the prerequisites:

Core resources (read/watch one of the following)


Stanford's Machine Learning lecture notes
Lecture notes for Stanford's machine learning course, aimed at graduate and advanced undergraduate students.
Author: Andrew Y. Ng


Supplemental resources (the following are optional, but you may find them useful)



See also