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Multivariate CLT Multivariate normal
 

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Lecture 36
Multivariate CLT
Multivariate normal
Covariance and correlation
Bivariate normal
A special construction
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Multivariate CLT
Take independent copies ^X1, ^X2, . . . of a random vector
^X = (X(1), . . . , X(d))
Vector of means: ^ = (E[X(1)], . . . , E[X(d)])
Matrix of variances and covariances, = (ij)i,j=1,...,d,

  

Source: Adler, Robert J. - Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology

 

Collections: Mathematics; Engineering