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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

1 vote
1 answer
640 views

KL divergence between gaussian with uniform prior

I have 2 normal distributions $\mathcal{N}(\mu_1, \mathbb{I}_d)$ where $\mu_1$ is a fixed vector in $\mathbb{R}^d$ and $\mathcal{N}(\mu_2, \mathbb{I}_d)$, where $\mu_2$ is $\mu_1 + V$, where $V$ is un …
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  • 215
1 vote
1 answer
332 views

Norm contrained Gaussian distribution

Let $X$ be a multivariate normal $\mathcal{N}(\mu, \Sigma^2)$ and let $X$ be anisotropic, that is I am considering $\Sigma$ to be a diagonal matrix but the elements on the diagonal might be different. …
rostader's user avatar
  • 215
2 votes
1 answer
1k views

Components of a Gram matrix and its eigenvalues

The Gram Matrix is defined as $$\sum_{i=1}^n X_iX_i^T,$$ where $X_i$ is drawn from the unit sphere based according to some continuous distribution (Relation between eigenvalues and the gram matrix for …
rostader's user avatar
  • 215