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Linear image of a multivariate normal vector
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Mathematics
Area of mathematics
Probability and statistics
Multivariate normal distribution
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Words: 26
If
X
∼
N
(
μ
,
Σ
)
and
A
and
c
are deterministic, then
A
X
+
c
∼
N
(
A
μ
+
c
,
A
Σ
A
T
)
.
(221)
In particular,
a
T
X
is normal with mean
a
T
μ
and variance
a
T
Σ
a
.
Ancestors
(5)
Multivariate normal distribution
Probability and statistics
Area of mathematics
Mathematics
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