# Multivariate Gaussian Distribution Assignment Help

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## Introduction to Multivariate Gaussian Distribution

Multivariate Gaussian Distribution is also known as Multivariate normal distribution or joint normal distribution. In theory, statistics, and probability, it is defined as the generalization of univariate that is one-dimensional to higher dimensions.

Further, it is also defined as a random vector which is known as K-variate which is said to be normally distributed if all the linear mixture of its K elements has a one-dimensional normal distribution. Its significance is explained majorly via the multivariate central limit model.

The multivariate normal distribution explains no less than approximately, any set of interrelated (possible) real-valued random variables each of which amalgamates across the mean value.

## Properties of the Multivariate Gaussian Distribution

1. All the elements of X which are linearly combined are normally distributed.
2. All the subclasses of the elements of X consist of a multivariate normal distribution.
3. Zero covariance indicates that the co-related elements are independently distributed.
4. The relative distribution of the elements is normal.

## Application of Multivariate Gaussian Distribution

The multivariate Gaussian distribution helps determine the relationship between various variables which are normally distributed, and thus possess huge use to economics and biology where the relation between normal variables which are approximated is of huge interest.

For example, one of the advanced applications of the multivariate Gaussian distribution was in determining the connection between the height of the eldest son and a father’s height, which solved a question that Darwin stated in On the Origin of Species. The study stated that:

• Both son's and father's height were disturbed normally with a variance of 3 inches and mean of 68.
• For height F, the height of sons whose fathers were of height F was normally distributed, and the average height was a linear function of F

In recent times, the multivariate Gaussian distribution is significantly useful in machine learning, whose objective is to classify data X into labels Y. One standard approach includes evaluating the distribution of X and Y and checking its approximate with a multivariate Gaussian distribution, the sustainability of which can be corrected by utilizing several normality tests, illogically, moreover, a distribution based on multivariate Gaussian distribution has been well performed I activities even when it is regarded as a poor model for the information.

## Understanding the Term- Covariance matrix

A covariance matrix is known as dispersion matrix, variance-covariance matrix, auto-covariance matrix, or variance matrix. It is defined as a square matrix explaining the covariance between each set of components of a given random vector. Covariance matrices are positive semi-definite and symmetric and their chief component comprises variance that is the covariance of every component with itself.

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