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Jan 06

Multivariate normal random variables

Tag: Noise,softwareadmin @ 12:24 pm

In my last post, I showed that the multivariate normal, abbreviated multinormal, is a good model for the noise w in a linearized x-ray system model. In this post, I will discuss some of the properties of the multinormal distribution. I will show a rationale for its expression using vectors and matrices. This will lead me to discuss matrix calculus. I will describe diagonalizing and whitening transformations and derive the moment generating functions of the uninormal and multinormal to show that linear combinations of multinormals are also multinormal. This post will provide math background for my discussions of detection and maximum likelihood estimation with the linearized x-ray model.

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