Summary: gaussian identities
sam roweis
(revised July 1999)
0.1 multidimensional gaussian
a d-dimensional multidimensional gaussian (normal) density for x is:
N (µ, ) = (2)-d/2
||-1/2
exp -
1
2
(x - µ)T
-1
(x - µ) (1)
it has entropy:
S =
1
2
log2 (2e)d
|| - const bits (2)
where is a symmetric postive semi-definite covariance matrix and the

Source: Adams, Ryan Prescott - Department of Electrical and Computer Engineering, University of Toronto
Frey, Brendan J. - Department of Electrical and Computer Engineering, University of Toronto

Collections: Computer Technologies and Information Sciences