On some properties of multivariate Gaussian distribution. (English) Zbl 1349.60015
Summary: The Gaussian (normal) distribution is one of the most important distributions and it has special properties. While real data are never exactly multivariate Gaussian, the Gaussian density is often a useful approximation to the “true” population distribution because of a central limit effect. One advantage of the multivariate Gaussian distribution stems from the fact that it is mathematically tractable and “nice” results can be obtained.
MSC:
60E05 | Probability distributions: general theory |
46N30 | Applications of functional analysis in probability theory and statistics |
62B05 | Sufficient statistics and fields |
60E10 | Characteristic functions; other transforms |