The Multivariate Normal Distribution
In this chapter we generalize the normal distribution to the multivariate case. The multivariate normal or Gaussian distribution is one of the most important multivariate distributions encountered in applied probability. One of the reasons is that this distribution is fundamental in the definition of a normal or Gaussian random process. A random process is a time — varying random variable; i.e., a random waveform. The Gaussian random process arises in a multitude of applications, both because it is a good model for many kinds of physical noises and random disturbances and because it is one of the most tractable of the non-trivial random processes.
KeywordsCovariance Matrix Column Vector Moment Generate Function Normal Random Variable Multivariate Normal Distribution
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