Recent content by jone

The Maxwell's equations, are differential equations and no laws in the true sense. People just don't seem to get that!? On the other hand, the Lorentz force law, the Coulomb's law, the Biot-Savart's law, the Faraday's law of induction as well as the conservation of charge are the fundamental...

Ok, so now it works out. \mathbf{\Sigma} = \mathbf{A}\mathbf{A}^T is the covariance matrix. Thank you for your help!

I was on that track before, make use of the CDF and then differentiate back to get the PDF. This is how far I get: Let Y be a standard i.i.d. Gaussian vector. Then use the transformation \mathbf{X} = \mathbf{A}\mathbf{Y} + \mathbf{\mu} P(\mathbf{X} < \mathbf{x}) =...

If the covariance matrix \mathbf{\Sigma} of the multivariate normal distribution is invertible one can derive the density function: f(x_1,...,x_n) = f(\mathbf{x}) =...