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Results tagged with st.statistics
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user 66284
Applied and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments.
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Continuous self-information
Let $I(X,Y)$ be the mutual information between two continuous random variables $X$ and $Y$.
We have $I(X,Y) = H(X)-H(X|Y)$, and setting $X=Y$ leads to $I(X,X) = H(X)-H(X|X)$. If $X$ was discrete, we' …
- 11
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Integral over conditioning variable of a Gaussian
The marginal of a multivariate Gaussian can be computed in closed form, i.e.,
$p(x) = \int_y \mathcal{N}((x,y);\mu,\Sigma)\ dy$
is simple. But what I need is
$L(x) = \int_y \mathcal{N}((x\mid y); \ …
- 11