Graphical Models and Inference - Lecture 10
The multivariate Gaussian distribution
This lecture gives a compact overview of the basic properties of the multivariate Gaussian distribution.
There is an appendix in Lauritzen (1996) which is slightly more abstract than the current exposition which is closer to
S. L. Lauritzen. Lectures on Multivariate Analysis. . Univ. Cop. Inst. Math. Stat., 1982. 2nd ed.1985. 3rd ed.1989.
See also Chapter 6 of Whittaker (1990).
An excellent and very readable general exposition of the multivariate Gaussian distribution and its use in Statistics is
G. Seber (1984). Multivariate Observations. Wiley, New York.
Last updated: Thursday, 10 November 2011 . Steffen L. Lauritzen