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D-Dimensional Gaussion Distribution
X
∈
R
D
same sigma = symmetric gaussian
can have different
for each dimension
σ
full matrix = rotated gaussian = correlation between different dimensions
Given a dataset, the maximum likelihood estimates can be calculated as
The off-diagonal elements are always identical due to the symmetry of the covariance i.e. the correlation between x and y is the same as the correlation between y and x
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