Author: Panagiotis
10
Okt
In
[1, p. 60 exercise 3.1] a
real random vector
is given , which is distributed according to a multivatiate Gaussian PDF with zero mean and covariance matrix:
We are asked to find
if
where
is given by the relation:
so that
and
are uncorrelated and hence independent. We are also asked to find the Cholesky decomposition of
which expresses
as
, where
is lower triangular with 1′s on the principal diagonal and
is a diagonal matrix with positive diagonal elements.
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