References

Definitions

In the multinorm package, we use the following variable names:

  • MultiNorm - the multivariate normal (a.k.a. Gaussian) distribution
  • n - the number of dimensions, i.e. number of parameters. Math: \(n\)
  • mean - the vector of mean values of the distribution. Math: \(\mu\)
  • cov - covariance matrix of the distribution. Math: \(\Sigma\)
  • precision - precision matrix. Math: \(\Sigma^{-1}\)

Documents

Some useful references for multivariate normal distributions: