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Results tagged with pr.probability
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user 481409
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
3
votes
Distribution of log of determinant Wishart matrix
There is a neat closed form expression for the characteristic function of this quantity. Let me derive this. Again let me fix notation $C:= X \cdot X^T$ where $X$ is an $n\times T$ real random matrix …
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